When Is a Treasury Security On-the-Run?

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.

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Year of publication:	2014
Authors:	Moore, Mark E. ; Winters, Drew B.
Published in:	The Financial Review. - Eastern Finance Association - EFA. - Vol. 49.2014, 1, p. 77-88
Publisher:	Eastern Finance Association - EFA

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011085565