Title of article
Predictable and profitable price patterns: Evidence from US interest rates
Author/Authors
Moorthy، نويسنده , , Vivek ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
7
From page
101
To page
107
Abstract
This paper detects a predictable response of short-term (Eurodollar) interest rate futures to US employment data during 1988–1993. A simulation with a trading rule derived from this predictable response generates systematic profits, thus violating the efficient markets hypothesis.
Keywords
Interest rates , Excess returns , Employment news
Journal title
Economics Letters
Serial Year
1996
Journal title
Economics Letters
Record number
434101
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