Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings

By Michael J. Fleming. 2002

123 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/81afd3c40fcf5b2039b28dacbcc5c89cef0c4cc0

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In Economics and Econometrics

1. Terrence Hendershott
2. Michael J. Barclay
3. Peter Hoffmann
4. Albert J. Menkveld
5. Ryan Riordan

Citations in the corpus

• Comparing Possible Proxies of Corporate Bond Liquidity (2003, unknown): “Our motivation is that since the end of the 1990s, fixed-income investors have moved away from using government securities to extract default-free interest rates and started using interest rate swap rates instead; see also Golub and Tilman (2000) and Kocić et al. (2000). In Section 5.”
• TBA Trading and Liquidity in the Agency MBS Market (2013, unknown): “12 See also Amihud and Mendelson (1991) and Fleming (2002).”
• Automation versus Intermediation: Evidence from Treasuries Going Off the Run (2006, background): “The dependent variable in these regressions is the percentage of the total trading volume in a given Treasury security on a given day that is executed by an electronic broker.”