• Medientyp: E-Book
  • Titel: The Effect of Transaction Size on Off-the-Run Treasury Prices
  • Beteiligte: Babbel, David F. [VerfasserIn]; Merrill, Craig B. [Sonstige Person, Familie und Körperschaft]; Meyer, Mark F. [Sonstige Person, Familie und Körperschaft]; De Villiers, Meiring [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2001]
  • Umfang: 1 Online-Ressource (29 p)
  • Sprache: Nicht zu entscheiden
  • DOI: 10.2139/ssrn.259285
  • Identifikator:
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments undated erstellt
  • Beschreibung: This paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and finds that there is a price pressure effect in the off-the-run Treasury market. As is well known, securities that would appear to be very close substitutes, i.e., on-the-run and off-the-run Treasury bonds, behave as if there is some degree of market segmentation. This is the first systematic study of the off-the-run Treasury note and bond market to investigate a price pressure effect using intra-day data. It analyzes price pressure through matched pairs of securities that differ only in liquidity
  • Zugangsstatus: Freier Zugang