Liquidity, Maturity, and the Yields on U.S. Treasury Securities
比较了期限匹配的国债票据与短期国债的收益率，发现流动性较低的票据收益率更高，且收益率差随期限递减并呈凸函数，为资产定价中的流动性效应提供了稳健证据。
ABSTRACT The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than 6 months). The yield to maturity is higher on notes, which have lower liquidity. The yield differential between notes and bills is a decreasing and convex function of the time to maturity. The results provide a robust confirmation of the liquidity effect in asset pricing.