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Article
Publication date: 4 March 2014

Volker Vonhoff

Coupon and principal Separate Trading of Registered Interest and Principal Securities (STRIPS) maturing at the same date often trade at different yields. The paper aims to discuss…

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Abstract

Purpose

Coupon and principal Separate Trading of Registered Interest and Principal Securities (STRIPS) maturing at the same date often trade at different yields. The paper aims to discuss this issue.

Design/methodology/approach

This paper analyzes for the first time the maturity structure of these differences for the US Treasury STRIPS market.

Findings

The paper surprisingly finds that short-term coupon STRIPS persistently trade at lower yields whereas long-term coupon STRIPS trade at higher yields compared to matched-maturity principal STRIPS.

Originality/value

An integrated analysis of Treasury STRIPS and the underlying notes market allows us to isolate two determinants: first, properties of the underlying notes that spill over to principal STRIPS, and second, the liquidity of coupon STRIPS measured by stripping activity and stripping volume.

Details

Managerial Finance, vol. 40 no. 4
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 20 June 2017

David Shinar

Abstract

Details

Traffic Safety and Human Behavior
Type: Book
ISBN: 978-1-78635-222-4

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Book part
Publication date: 20 June 2017

David Shinar

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Abstract

Details

Traffic Safety and Human Behavior
Type: Book
ISBN: 978-1-78635-222-4

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