Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills
通过事件研究法分析现金管理券公告，发现国库券市场分割普遍存在，不仅限于跨月末到期的券种，且短期端分割更严重。
This paper examines cash management bill announcements in an event study framework and finds that segmentation in the Treasury bill market is widespread and not limited to bills maturing across month-ends. Announcements of cash management bills, which represent unexpected additional supplies of outstanding Treasury bills, cause the yields on these bills to rise significantly relative to yields on adjacent maturity bills. This paper also finds, consistent with other studies, that segmentation is greater at the short end of the bill market.