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

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

David Goldreich2002

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Preprintgreen2002

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

David Goldreich · Bernd Hanke · Purnendu Nath

74 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns 2001Market Liquidity and Trading Activity 1998Liquidity and stock returns: An alternative test 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

Cited by

2005A Search-Based Theory of the On-the-Run Phenomenon 2012The Cost of Short‐Selling Liquid Securities 2009The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform 2006Measuring the liquidity impact on EMU government bond prices 2013Liquidity and Volatility in the U.S. Treasury Market 2012Trading in Derivatives When the Underlying is Scarce

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Marketarticle · 22 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 19 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 18 shared references 2004The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bondsarticle · 17 shared references 2012Illiquidity Premia in the Equity Options Marketpreprint · 15 shared references 2005Stock and Bond Pricing with Liquidity Riskpreprint · 14 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations74

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.301967

openalex_workW1551582407

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2022

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