The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market
提出月末因支付系统标准化导致资金集中流动，形成投资者偏好栖息地，预测到期日在此的证券收益率折价，并用国库券数据验证，对国债管理、企业银行短期现金管理及风险证券收益估计有启示。
This paper argues that an aggregate preferred habitat for investors exists on (or about) the last day of the calendar month, due to standardizations in the nation's payments system resulting in a concentrated flow of funds on this date. Thus, equilibrium yield discounts are predicted for securities maturing on such dates. Empirical tests on monthly and daily Treasury bill data support the principal hypothesis, as well as several ancillary hy? potheses. The results have implications for Treasury debt management, for the short-term cash and debt management practices of businesses and banks, and for the empirical esti? mation of daily, weekly, or monthly return premiums on risky securities.