Liquidity, Reconstitution, and the Value of U.S. Treasury Strips
美国国债本息分离债券市场中，本金剥离的零息债券价格显著高于息票剥离的零息债券，研究证明流动性和重组特性差异是主因。
ABSTRACT An apparent pricing anomaly exists in the market for U.S. Treasury strips: zero‐coupon strips created from principal payments typically trade at significantly higher prices than otherwise identical zero‐coupon strips created from coupon payments. In addition to documenting this phenomenon, this study demonstrates that differences in liquidity and differences in reconstitution characteristics explain much of this price variation.