Thomas R. Hamilton’s research while affiliated with University of South Carolina and other places

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Publications (1)


The pricing of municipal bond index futures
  • Article
  • Full-text available

August 1994

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172 Reads

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2 Citations

Thomas R. Hamilton

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Citations (1)


... The futures contract is an exchange-traded contract with significant daily volume. Second, as noted by Litzenberger (1984) and Hamilton et al. (1994), it is difficult to short individual Treasury and municipal bonds. Generally, bonds that are shorted must be borrowed through reverse repurchase agreements. ...

Reference:

Do Tax-Exempt Yields Adjust Slowly to Substantial Changes in Taxable Yields?
The pricing of municipal bond index futures