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When Is a Treasury Security On-the-Run?

Authors :
Moore, Mark E.
Winters, Drew B.
Source :
Financial Review; Feb2014, Vol. 49 Issue 1, p77-88, 12p
Publication Year :
2014

Abstract

The literature contains two conflicting definitions of the on-the-run period for Treasury securities. We address the conflict by empirically examining the implications of the two definitions. We conclude that it is important that researchers clearly understand the implications of each definition. Our results suggest that on-the-run activity spans different auction calendar time in T-notes and T-bills. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
07328516
Volume :
49
Issue :
1
Database :
Complementary Index
Journal :
Financial Review
Publication Type :
Academic Journal
Accession number :
93719590
Full Text :
https://doi.org/10.1111/fire.12026