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This repository provides metadata of IIMB Publications and aimed at creating and preserving an archive of Institution scholarship. IIMB Publications include Articles, Working Papers (FULL TEXT), Book Chapters published by Faculty, Doctoral Dissertations by FPM Scholars and Project reports of Students enrolled in various courses of IIMB.
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https://repository.iimb.ac.in/handle/2074/10366| Title: | Predictable and profitable price patterns: Evidence from US interest rates | Authors: | Moorthy, Vivek | Keywords: | Employment news;Excess returns;Interest rates | Issue Date: | 1996 | Publisher: | Elsevier | 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. | URI: | http://repository.iimb.ac.in/handle/2074/10366 | DOI: | 10.1016/0165-1765(95)00789-X |
| Appears in Collections: | 1990-1999 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| Moorthy_EL_1996_Vol.51_Iss.1.pdf | 430.72 kB | Adobe PDF | View/Open Request a copy |
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