Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - Federal Reserve Bank of St. Louis - 2004
.
Authors’ details: Lucio Sarno is Professor of Finance, Finance Group, Warwick Business School,
University of Warwick, and a …@stls.frb.org. Giorgio Valente is
Lecturer in Finance, Finance Group, Warwick Business School, University of Warwick. Email:
giorgio … occurs on the first business day following the last day of the contract month.
The FF rate
FF
t
i and the 3-month T …