Journal of Financial Services Research

, Volume 12, Issue 1, pp 21–38 | Cite as

On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market

  • Mark D Griffiths
  • Drew B Winters


In this article, we document a preference for liquidity at the year-end in the brokered market for general-collateral term-repurchase agreements. Our tests indicate significant increases in the repo rates for one-week through one-month term instruments when the maturities span the turn-of-the-year. We show that the results cannot be consistent with window dressing or with the argument that investors in this market tilt their portfolios away from riskier assets at the year-end. Our results suggest a generalized liquidity premium at year-end that could also explain the survival of the turn-of-the-year effect in equities. This desire for liquidity could be due to perceived risk, but since it appears in short-term general-collateral government repos, it seems more likely attributable to year-end payment patterns.


Prefer Habitat Risky Asset Generalize Liquidity Liquidity Premium Repo Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Kluwer Academic Publishers 1997

Authors and Affiliations

  • Mark D Griffiths
    • 1
  • Drew B Winters
    • 2
  1. 1.World BusinessAmerican Graduate School of International ManagementGlendale
  2. 2.College of Business Administration, Department of Marketing and FinanceUniversity of Southern MississippiHattiesburg

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