Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury Strips Program

120 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The on-the-run liquidity phenomenon (2009, unknown): “2 A related literature studies price discrepancies among substantially identical securities or portfolios (e.g., Lee, Schleifer, and Thaler, 1990, 1991; Daves and Ehrhardt, 1993; Bodurtha, Kim, and Lee, 1995; Froot and Dabora, 1999; Grinblatt and Longstaff, 2000).”
The TIPS-treasury bond puzzle (2014, result): “This is consistent with Grinblatt and Longstaff (2000) who provide estimates ranging from one to four ticks.”
A Cross-Disciplinary Exploration of Entrepreneurship Research (2007, background): “Another research opportunity concerns the fact that financial innovations (Grinblatt & Longstaff, 2000; Hillion & Vermaelen, 2004; Lerner, 2006) represent an entrepreneurial opportunity for firms competing in the financial services industry.”
The dark side of financial innovation: A case study of the pricing of a retail financial product (2011, unknown): “…financial innovations as arising to ameliorate imperfections such as agency conflicts (Ross, 1989), to reduce transactions costs (Ross, 1989; McConnell and Schwartz, 1992; Grinblatt and Longstaff, 2000), and to minimize the impact of taxes or regulations (Miller, 1986; Santangelo and Tufano, 1996).”
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002, unknown): “5The Treasury STRIPS program is described in Grinblatt and Longstaff (2000).”