Abstract
Musto (1997) identifies a turn-of-the-year effect in the commercial paper market and offers risk-shifting window dressing as an explanation. We revisit this market with different methods and find strong evidence rejecting the risk-shifting hypothesis. We extend our analysis to other private-issue money market instruments and find similar results. We find further corroborating evidence in the 1-month T-bill market and aggregate demand deposit data. Our results are consistent with a year-end preferred habitat for liquidity associated with year-end cash flow obligations.
| Original language | English |
|---|---|
| Pages (from-to) | 1337-1363 |
| Number of pages | 27 |
| Journal | Journal of Business |
| Volume | 78 |
| Issue number | 4 |
| DOIs | |
| State | Published - Jul 2005 |