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The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

https://doi.org/10.1007/s10679-005-2986-x
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
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Expandable limit order markets
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Liquidity risk and specialness
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The bond/old-bond spread
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An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis,…
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Illiquidity and stock returns: cross-section and time-series effects
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Liquidity and stock returns: An alternative test
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The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds
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A Model of the Convenience Yields in On-the-Run Treasuries
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Risk, Return, and Equilibrium: Empirical Tests
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Liquidity Risk and Expected Stock Returns
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The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices
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Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market
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Transactions, Volume, and Volatility
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Tax and Liquidity Effects in Pricing Government Bonds
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Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information
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Market Liquidity and Trading Activity
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The Price of Options Illiquidity
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Liquidity, Maturity, and the Yields on U.S. Treasury Securities
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Liquidity, Reconstitution, and the Value of U.S. Treasury Strips
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Special Repo Rates
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Special Repo Rates: An Empirical Analysis
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Cost of Transacting and Expected Returns in the Nasdaq Market
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Financial Market Implications of the Federal Debt Paydown
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Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings
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Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market
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Bond Price Data and Bond Market Liquidity
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Bond Returns, Liquidity, and Missing Data
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Liquidity, Taxes, and Short-Term Treasury Yields
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Economic News and Bond Prices: Evidence from the U.S. Treasury Market
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Discounts on Restricted Stock: The Impact of Illiquidity on Stock Prices
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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Liquidity and Volatility in the U.S. Treasury Market
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The Liquidity Premium of Near-Money Assets
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Euro Area Government Bond Market Liquidity
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The on-the-run liquidity phenomenon
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Market Liquidity
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Copyright Page
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Dedication
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Preface
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Acknowledgments
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List of Acronyms
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Trading Mechanics and Market Structure
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Measuring Liquidity
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Order Flow, Liquidity, and Security Price Dynamics
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Trade Size and Market Depth
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Estimating the Determinants of Market Illiquidity
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Limit Order Book Markets
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Market Fragmentation
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Market Transparency
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Algorithmic and High-Frequency Trading
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Liquidity and Asset Prices
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Financial Stability and Market Liquidity
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Liquidity, Price Discovery, and Corporate Policies
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Introduction
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The Liquidity Premium of Near-Money Assets*
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IPO Underpricing and After-Market Liquidity
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Informed and Strategic Order Flow in the Bond Markets
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Bond Liquidity Premia
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Anticipated and Repeated Shocks in Liquid Markets
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Illiquidity Premia in the Equity Options Market
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Notes on Bonds: Illiquidity Feedback During the Financial Crisis
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Sovereign Credit Quality and Violations of the Law of One Price
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The TIPS Liquidity Premium
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An Empirical Investigation on Funding Liquidity and Market Liquidity
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Flight to liquidity due to heterogeneity in investment horizon
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Alternative Futures for Government of Canada Debt Management
inferred← citeshttps://doi.org/10.1108/mf-08-2013-0217openalex-snapshot
Yield differences between coupon and principal STRIPS
inferred← citeshttps://doi.org/10.1108/rbf-03-2019-0044openalex-snapshot
Evaluation of behavioral biases affecting investment decision making of individual equity investors by fuzzy analytic hierarchy process
inferred← citeshttps://doi.org/10.1108/s0196-382120150000031005openalex-snapshot
How Do Managers Manage Dividend Growth Rates?
inferred← citeshttps://doi.org/10.1108/sef-10-2018-0319openalex-snapshot
Liquidity of financial markets: a review
inferred← citeshttps://doi.org/10.1109/jcai.2009.63openalex-snapshot
The Influences of Liquidity Surplus on the Price of Fuel Oil Future in China
inferred← citeshttps://doi.org/10.1111/caje.12505openalex-snapshot
The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and securities lending markets
inferred← citeshttps://doi.org/10.1111/fire.12118openalex-snapshot
Macroeconomic Announcements and the Distribution of Price‐Endings in the U.S. Treasury Market
inferred← citeshttps://doi.org/10.1111/j.0013-0427.2005.00403.xopenalex-snapshot
Information Revelation, Liquidity Shocks, the Volatility and the Level of Bond Spreads
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2006.01061.xopenalex-snapshot
Automation versus Intermediation: Evidence from Treasuries Going Off the Run
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2008.01360.xopenalex-snapshot
A Search‐Based Theory of the On‐the‐Run Phenomenon
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2008.01439.xopenalex-snapshot
Are Liquidity and Information Risks Priced in the Treasury Bond Market?
inferred← citeshttps://doi.org/10.1111/jfir.12396openalex-snapshot
Bond pairs and the term structure
inferred← citeshttps://doi.org/10.1111/jofi.12009openalex-snapshot
The Cost of Short‐Selling Liquid Securities
inferred← citeshttps://doi.org/10.1111/manc.12031openalex-snapshot
Decentralization, Incentive Contracts and the Effect of Distortions in Performance Measures
inferred← citeshttps://doi.org/10.1142/s0219091507001173openalex-snapshot
Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information
inferred← citeshttps://doi.org/10.1142/s0219091512500105openalex-snapshot
Order Imbalance, Liquidity, and Returns of the U.S. Treasury Market
inferred← citeshttps://doi.org/10.1142/s201013922050007xopenalex-snapshot
Is There an On-the-Run Premium in TIPS?
inferred← citeshttps://doi.org/10.1177/0361198120919395openalex-snapshot
Bond Index Approach to the Evaluation of Transportation P3 Market in the U.S.
inferred← citeshttps://doi.org/10.1504/ijmef.2012.044466openalex-snapshot
Credit rating announcements, trading activity and yield spreads: the Spanish evidence
inferred← citeshttps://doi.org/10.1561/0500000003openalex-snapshot
Liquidity and Asset Prices
inferred← citeshttps://doi.org/10.17016/feds.2014.60openalex-snapshot
The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors
inferred← citeshttps://doi.org/10.17016/feds.2017.003openalex-snapshot
Bond Market Intermediation and the Role of Repo
inferred← citeshttps://doi.org/10.17016/ifdp.2006.874openalex-snapshot
Informed and Strategic Order Flow in the Bond Markets
inferred← citeshttps://doi.org/10.17615/nh72-k767openalex-snapshot
The High Frequency Economics of Government Bond Markets
inferred← citeshttps://doi.org/10.20955/wp.2007.052openalex-snapshot
The Microstructure of the U.S. Treasury Market
inferred← citeshttps://doi.org/10.2139/ssrn.4979127openalex-snapshot
A New Keynesian Preferred Habitat Model with Repo
inferred← citeshttps://doi.org/10.24148/wp2013-26openalex-snapshot
Does Quantitative Easing Affect Market Liquidity?
inferred← citeshttps://doi.org/10.24148/wp2017-10openalex-snapshot
Is There an On-the-Run Premium in TIPS?
inferred← citeshttps://doi.org/10.24148/wp2017-11openalex-snapshot
The TIPS Liquidity Premium
inferred← citeshttps://doi.org/10.2469/faj.v66.n5.4openalex-snapshot
A TIPS Scorecard: Are They Accomplishing Their Objectives?
inferred← citeshttps://doi.org/10.2753/ree1540-496x480501openalex-snapshot
Liquidity and Yield Curve Estimation
inferred← citeshttps://doi.org/10.3386/w10327openalex-snapshot
Flight to Quality, Flight to Liquidity, and the Pricing of Risk
inferred← citeshttps://doi.org/10.3386/w12376openalex-snapshot
Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market
inferred← citeshttps://doi.org/10.3386/w18251openalex-snapshot
Market Liquidity -- Theory and Empirical Evidence
inferred← citeshttps://doi.org/10.3386/w20265openalex-snapshot
The Liquidity Premium of Near-Money Assets
inferred← citeshttps://doi.org/10.3386/w22576openalex-snapshot
The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds
inferred← citeshttps://doi.org/10.33915/etd.4619openalex-snapshot
Essays on open market operations, the maturity composition of the public debt, and the term structure
inferred← citeshttps://doi.org/10.3905/jfi.2007.683320openalex-snapshot
Valuation of Bond Illiquidity
inferred← citeshttps://doi.org/10.3905/jpm.2020.1.174openalex-snapshot
Market Liquidity: An Elusive Variable
inferred← citeshttps://doi.org/10.54695/bmi.178.0003openalex-snapshot
Socialium or the Financial Price of Social Responsibility
inferred← citeshttps://doi.org/10.54695/bmi.181.0061openalex-snapshot
Stock price informativeness and the impact of Seasoned Equity Offerings on the firm’s stock liquidity
inferred← citeshttps://doi.org/10.70675/053308e6z5bb3z455bz8cf7z2c5ecd7e58cbopenalex-snapshot
Microstructure et interdépendance des marchés obligataires d'Etat : cas de l'Allemagne et de la Chine
inferred← citeshttps://doi.org/10.70675/09485130zafc1z4b4bzb106zb21e09272b65openalex-snapshot
Asset pricing and impact investing with pro-environmental preferences
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