during a Federal Reserve tightening cycle will meet with disappointing results because an unexpected rise in short rates can potentially eliminate any term premium present in longer-maturity bills. For example, beginning February 4, 1994 and ending on February 1, 1995, the Federal Reserve Open Market Committee increased the Federal Funds target rate seven times from 3% to 6%. Grieves, Mann, Marcus, and Ramanlal examine the performance of the riding strategy during this period and find that the overall performance of riding the yield curve deteriorates considerably.       TREASURY BILLS WITH SPECIAL VALUE   There is a substantial body of empirical evidence that suggests that cer- tain Treasury bills have special value in addition to the value attributable to their cash flows.18This additional value is present in bills whose matu- ritydatesimmediatelyprecedecalendardateswhencorporatetreasurers   18See, for example, Kenneth D. Garbade, Fixed Income Analytics (Cambridge, MA: MIT Press, 1996) and Joseph P. Ogden, "The End of the Month as a Preferred Hab- itat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis (September 1987), pp. 329-343. U.S.TreasuryBills     require cash to make payments. Two prominent examples are quarter-end bills and tax bills. Quarter-end bills mature immediately prior to the end of the quarter. Similarly, tax bills mature immediately prior to important federal corporate income tax dates (March 15, April 15, June 15, Septem- ber 15, and December 15). Both quarter-end and tax bills usually trade at a higher price and correspondingly offer a lower yield relative to the Trea- sury bill curve. As an example, on July 22, 1999, three Treasury bills maturing on September 23, September 30, and October 7 (all in 1999) were yielding 4.48%, 4.43%, and 4.51%, respectively.19Thus, in an oth- erwise upwarding-sloping curve, the September 30 bill looks expensive relative to the two surrounding bills. The reason for this additional or special value is straightforward. Corporate treasurers may desire to invest excess cash on hand in securi- ties that mature at the end of the quarter and whose cash flows at matu- rity can be used to liquidate short-term liabilities (e.g., accounts payable) before reporting their quarterly balance sheets. A bill that matures the week after the quarters end would require the treasurer to sell the secu- rity prior to maturity; a bill that matures the week before would require the treasurer to reinvest the maturity payment for an additional week. Accordingly, the bills that mature one week before or after the end of the