Studies on strip bonds
Listed below are links to some selected academic papers related to strip bonds. By including them here, I am simply providing a list that may be of interest for further reading, not necessarily endorsing their methodologies or conclusions. In some cases, only an abstract is available without a subscription.
| Liquidity, Reconstitution, and the Value of U.S. Treasury Strips. Authors: Philip R. Daves, Michael C. Ehrhardt. Journal of Finance, Vol. 48, No. 1 (Mar., 1993), pp. 315-329 | Link to JSTOR |
| Some Empirical Estimates of the Risk Structure of Interest Rates. Authors: Oded Sarig, Arthur Warga. Journal of Finance, Vol. 44, No. 5 (Dec., 1989), pp. 1351-1360 doi:10.2307/2328646 | Link to JSTOR |
| A note on market efficiency, institutional practice, and economic constraints in the experience of the Canadian bond market. Authors: Halpern, P. and Rumsey, J. Journal of Banking and Finance, Volume 21, Number 1, January 1997, pp. 113-123(11) | Link to article on Science Direct |
| Strip Bonds and Arbitrage Bounds. Authors: Halpern, P. and Rumsey, J. December 1999 | Link |
| A cointegration study of the efficiency of the US Treasury STRIPS market. Authors: James J. Kung and Andrew P. Carverhill. April 2005 | Link |
| The Relative Pricing of U.S. Treasury STRIPS: Empirical Evidence. Authors: Jordan, B., Jorgensen, R., and Kuipers, D. Journal of Financial Economics, Vol. 56, Issue 1, April 2000 | Link |
| Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program. Authors: Mark Grinblatt & Francis A. Longstaff. The Journal of Finance. Volume 55 Page 1415 - June 2000 | Link |
| The Canadian market for zero-coupon bonds. Author: Miles Whittingham. Bank of Canada Review, Winter 1996-1997. | Link |
| Government of Canada Yield-Curve Dynamics, 1986-2003. Author: Grahame Johnson, Financial Markets Department, Bank of Canada. Bank of Canada Review, Winter 2004-2005. NOTE: There are some inaccuracies regarding the description of Canadian strip bond service in this paper. | Link |
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