Sources of Variation in Holding Returns for Fed Funds Futures Contracts
---- Acknowledgements -----
We are grateful to Michael Bauer, Brent Bundick, Eric Swanson, and an anonymous referee for comments on an earlier draft. Okimoto thanks the JSPS Postdoctoral Fellowships for Research Abroad for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.