Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings
利用美国财政部票据续发的自然实验，发现续发票据比同期限新发票据流动性更好，但续发带来的流动性好处被供给成本抵消，导致收益率更高。
This paper makes use of a natural experiment of the U.S. Treasury Department to examine the relationship between Treasury security issue size and liquidity. Treasury bills that were first issued with 52 weeks to maturity and then "reopened" at 26 weeks are shown to be more liquid than comparable maturity bills that were first issued with 26 weeks to maturity. The relationship is less pronounced when bills are "on-the-run" (the most recently auctioned bills of a given maturity) than when they are "off-the-run," and persists when controlling for other factors that affect liquidity. The reopened bills are found to have higher yields (lower prices) than comparable maturity bills, showing that the indirect liquidity benefits of reopenings are more than offset by the direct supply costs.