Note
College of Business
Member of
Contributors
Publisher
Florida Atlantic University
Date Issued
1978
Description
This thesis focuses on the futures market for GNMA pass-through
certificates and Treasury bills. The main topic
covered was the speculative strategy of spread-trading. The
period from January 1976 through December 1977 was analyzed to
ascertain whether spread-trade opportunities did exist. The
results of the analysis did support the proposition that prof
i table spread-trade opportunities were possible during the
time studied. Contrary to conventional wisom, the profitability
of spread-trading was found to be heavily dependent on the
correct assessment by the speculator of the direction of movement
of interest rates.
certificates and Treasury bills. The main topic
covered was the speculative strategy of spread-trading. The
period from January 1976 through December 1977 was analyzed to
ascertain whether spread-trade opportunities did exist. The
results of the analysis did support the proposition that prof
i table spread-trade opportunities were possible during the
time studied. Contrary to conventional wisom, the profitability
of spread-trading was found to be heavily dependent on the
correct assessment by the speculator of the direction of movement
of interest rates.
Language
Type
Form
Extent
56 p.
Subject (Topical)
Identifier
13938
Additional Information
College of Business
Thesis (M.A.)--Florida Atlantic University, 1978.
FAU Electronic Theses and Dissertations Collection
Date Backup
1978
Date Text
1978
Date Issued (EDTF)
1978
Extension
FAU
FAU
admin_unit="FAU01", ingest_id="ing1508", creator="staff:fcllz", creation_date="2007-07-19 01:51:27", modified_by="staff:fcllz", modification_date="2011-01-06 13:09:04"
IID
FADT13938
Issuance
monographic
Organizations
Attributed name: Florida Atlantic University
Attributed name: College of Business
Attributed name: Department of Economics
Person Preferred Name
NORTHRUP, ALLEN ARTHUR.
Graduate College
Physical Description
56 p.
application/pdf
Title Plain
SPREAD-TRADING OPPORTUNITIES IN THE FUTURES MARKET: AN EXPOST ANALYSIS
Use and Reproduction
Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
http://rightsstatements.org/vocab/InC/1.0/
Origin Information
1978
monographic
Boca Raton, Fla.
Florida Atlantic University
Physical Location
Florida Atlantic University Libraries
Place
Boca Raton, Fla.
Sub Location
Digital Library
Title
SPREAD-TRADING OPPORTUNITIES IN THE FUTURES MARKET: AN EXPOST ANALYSIS
Other Title Info
SPREAD-TRADING OPPORTUNITIES IN THE FUTURES MARKET: AN EXPOST ANALYSIS