When Is a Treasury Security On-the-Run?

When Is a Treasury Security On-the-Run?

The literature contains two conflicting definitions of the on‐the‐run period for Treasury securities. We address the conflict by empirically examining the implications of the two definitions. We conclude that it is important that researchers clearly understand the implications of each definition. Ou...

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Veröffentlicht in:The Financial review (Buffalo, N.Y.) N.Y.), 2014-02, Vol.49 (1), p.77-88
Hauptverfasser: Moore, Mark E., Winters, Drew B.
Format: Artikel
Sprache:eng
Schlagworte:
Auctions
Conflict
Definitions
G10
G18
on-the-run
Studies
Treasuries
treasury securities
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Beschreibung
Zusammenfassung:The literature contains two conflicting definitions of the on‐the‐run period for Treasury securities. We address the conflict by empirically examining the implications of the two definitions. We conclude that it is important that researchers clearly understand the implications of each definition. Our results suggest that on‐the‐run activity spans different auction calendar time in T‐notes and T‐bills.
ISSN:0732-8516
1540-6288
DOI:10.1111/fire.12026