The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market
By David Goldreich, Bernd Hanke, Purnendu Nath. 2002
193 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/2b19fd125c60930ccdda94050fc5c424e8c244f3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Ruslan Goyenko
- Avanidhar Subrahmanyam
- Terrence Hendershott
- Andrey D. Ukhov
- Junbo Wang
- Chunchi Wu
- A. Mentink
- Kenneth A. Kavajecz
In Finance
- Ruslan Goyenko
- Andrey D. Ukhov
- Terrence Hendershott
- Avanidhar Subrahmanyam
- Michael J. Barclay
- Junbo Wang
- Chunchi Wu
- A. Mentink
Citations in the corpus
- Comparing Possible Proxies of Corporate Bond Liquidity (2003, methodology): “We evaluate the relative performance of all proxies, employing a method recently applied by Goldreich et al. (2002) on Treasury bonds.”
- Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2006, background): “Longstaff (2004) and Goldreich, Hanke, and Nath (2005) provide evidence that the level of liquidity is priced through the comparison of carefully chosen samples of on and off-the-run paired Treasury securities and Treasury and RefCorp securities respectively.”
- Are Liquidity and Information Risks Priced in the Treasury Bond Market (2009, background): “Goldreich, Hanke, and Nath (2005) examine the price differences between on- and off-the-run Treasuries and time varying liquidity over the on/off cycle.”
- Bond Liquidity Premia (2012, background): “The gradual decay of the premium with age has been documented by Goldreich et al. (2005).”
- The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010, background): “Our data allow an explicit comparison of illiquidity across different macroeconomic regimes and allow us to test 8See also Warga (1992), Kamara (1994), and Goldreich et al. (2005). the hypothesis that bond markets are less liquid during recessions than at other times.”
- Automation versus Intermediation: Evidence from Treasuries Going Off the Run (2006, background): “Krishnamurthy (2002) and Goldreich, Hanke, and Nath (2005) examine the relations among bond prices, bid-ask spreads, and changes in liquidity when Treasury securities go off the run.”
- Stock and Bond Market Liquidity: A Long-Run Empirical Analysis (2009, background): “…and Mendelson (1986), (1989), Brennan and Subrahmanyam (1996), Amihud (2002), and Jones (2002)), and studies of the U.S. Treasury bond markets (Amihud and Mendelson (1991), Warga (1992), Boudoukh and Whitelaw (1993), Kamara (1994), Krishnamurthy (2002), and Goldreich, Hanke, and Nath (2005)).”
- Informed and Strategic Order Flow in the Bond Markets (2006, unknown): “We use these “on-the-run” notes because, according to Fleming (1997), Brandt and Kavajecz (2004), and Goldreich, Hanke, and Nath (2005), those are the securities with the greatest liquidity and where the majority of informed trading takes place.”