| Tekijä: | Goldreich, D. Hanke, B. Nath, P. |
| Otsikko: | The price of future liquidity: Time-varying liquidity in the U.S. treasury market |
| Lehti: | Review of finance
2005 : VOL 9:1, p. 1-32 |
| Asiasana: | Stock markets Securities Liquidity USA |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the price differences between very liquid on-the-run U.S. Treasury securities (hereafter as: secs.) and less liquid off-the-run secs. over the on/off cycle. Comparing pairs of secs. in time-series regressions allows to disregard any fixed cross-sectional differences btw. secs. Also, it is possible to distinguish btw. current and future liq-y. A variety of microstructure-based direct measures of liq-y. is compared to compare their effects on prices. It is shown that the liq-y. premium depends primarily on the amount of remaining future liquidity. |
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