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  • January 1993 (Revised June 1995)
  • Case
  • HBS Case Collection

Arbitrage in the Government Bond Market?

  • Format:Print
  • | Pages:9
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Abstract

Documents a pricing anomaly in the large and liquid treasury bond market. The prices of callable treasury bonds seem to be inconsistent with the prices of noncallable treasuries and an arbitrage opportunity appears to exist. Permits instructors to introduce the treasury market, the concept of creating synthetic instruments, principles of arbitrage, and institutional frictions in the bond markets.

Keywords

Bonds; Price; Valuation; Capital Markets

Citation

Edleson, Michael E., and Peter Tufano. "Arbitrage in the Government Bond Market?" Harvard Business School Case 293-093, January 1993. (Revised June 1995.)
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