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Liquidité, maturité et rendements actuariels des bons du Trésor négociables [extrait BMI 28]
Author : Ngando Black Charles
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Cet article examine l'effet du degré de liquidité sur les rendements actuariels des titres de maturité finie. S'appuyant sur un échantillon croisé de 1225 observations, il montre que les rendements actuariels des BTF de maturité inférieure ou égale à 6 mois sont plus faibles que ceux des BTAN de même maturité qui sont moins liquides. L'écart de rendement entre les deux catégories de titres augmente à mesure qu'ils se rapprochent de leur échéance suggérant l'opportunité des opérations d'arbitrage.Auteurs :Ngando Black Charles
Extrait de la revue BMI 28
BMI28-1098107
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