Graveline, Jeremy J.; McBrady, Matthew R. - In: Journal of Financial Intermediation 20 (2011) 4, pp. 620-632
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...