کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960708 | 1478922 | 2011 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Who makes on-the-run Treasuries special?
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
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چکیده انگلیسی
The most recently issued, on-the-run, Treasuries are extremely liquid and frequently trade at a premium in both the cash and repo, or financing, markets. Previous research suggests that both the cash and repo premiums reflect demand from buy-and-hold investors who value the superior liquidity of these securities and are reluctant to lend them in the repo market. We find evidence that premiums in the repo market are also closely related to market participants’ demand to hedge interest rate risk associated with their holdings of fixed income securities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Intermediation - Volume 20, Issue 4, October 2011, Pages 620–632
Journal: Journal of Financial Intermediation - Volume 20, Issue 4, October 2011, Pages 620–632
نویسندگان
Jeremy J. Graveline, Matthew R. McBrady,