Liquidity, Taxes, and Short-Term Treasury Yields
研究相同期限国债与国库券的收益率差异，发现其反映流动性风险和税收差异，并提出衡量流动性风险差异的实证指标。
This article investigates differences in yields on identical Treasury notes and bills and shows that they reflect differences in liquidity (immediacy) risk and taxes. It proposes an empirical measure for differences in the liquidity risk of notes and bills: the volatility ofthe underlying rate times the ratio of bills' turnover to notes' turnover. Because differential taxes affect sellers but not buyers of bills and notes, the results reject, free of informational problems, the hypothesis that the notes' demand curve is horizontal. Note-bill yield differences also decrease with inventories of notes?the less liquid asset.