The Effect of Transaction Size on Off-the-Run Treasury Prices
利用美国国债交易商间经纪市场的日内数据，研究非新发国债市场的价格压力，通过匹配仅流动性不同的证券对来分析交易规模对价格的影响。
Abstract This paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and measures the degree of price pressure 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 focused entirely on a price pressure effect using intra-day data. The paper analyzes price pressure through matched pairs of securities that differ only in liquidity.