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Public Disclosures and Calendar-Related Movements in Risk Premiums: Evidence from Interbank Lending, Journal of Financial Markets

Abstract

This paper finds that risk premiums on overnight interbank loans increase dramatically at year-end. Further, cross-sectional variation in prices reflects, in part, differences in public disclosure requirements across institutions, suggesting a significant influence of window dressing on behavior in this market.

Type

Article

Author(s)

Craig Furfine

Date Published

2004

Citations

Furfine, Craig. 2004. Public Disclosures and Calendar-Related Movements in Risk Premiums: Evidence from Interbank Lending. Journal of Financial Markets. 7(1): 97-116.

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