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]
The Effect of Transaction Size on Off-the-Run Treasury Prices
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