Model
Digital Document
Publisher
Florida Atlantic University
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.
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