Anticipated and Repeated Shocks in Liquid Markets
研究发现美国国债二级市场价格在拍卖前数日显著下跌，拍卖后迅速回升，揭示了交易商有限的风险承受能力和终端投资者资本流动不完美等摩擦在流动性市场中的重要作用，并估计了隐性发行成本。
We show that Treasury security prices in the secondary market decrease significantly in the few days before Treasury auctions and recover shortly thereafter, even though the time and amount of each auction are announced in advance. These results are linked to dealers' limited risk-bearing capacity and end-investors' imperfect capital mobility, highlighting the important role of frictions even in very liquid financial markets. Our results imply a hidden issuance cost to the U.S. Department of the Treasury, estimated to be 9 to 18 bps of the auction size, or over half a billion dollars for the issuance size in 2007. © 2013 The Author.