The decline in idiosyncratic values of US Treasury securities
研究用线性规划模型衡量1980至2016年美国国债的异质性定价，发现平均每100美元面值有0.11美元的异质性定价，且从80年代初到2010年代大幅下降，主要归因于1986年税改、发行规模扩大和市场流动性改善。
Unique features and market frictions can lead to idiosyncratic pricing for some US Treasury securities. This study uses a linear programming (LP) model to measure aggregate idiosyncratic pricing of T-notes and T-bonds from 1980 to 2016. We document an average idiosyncratic pricing of $0.11 per $100 par, as compared to an average bid-ask spread of $0.08. Further, idiosyncratic pricing declined dramatically from the early 1980s to the 2010s. Empirical evidence suggests that the 1986 Tax Reform Act, increasing issue sizes and improving market liquidity contribute to the decline. At the individual security level, we identify factors contributing to and mitigating idiosyncratic pricing.