Bartolini, Leonardo; Hilton, Spence; Sundaresan, Suresh; … - In: Review of Financial Studies 24 (2011) 1, pp. 248-278
Using data on repurchase agreements by primary securities dealers, we show that three classes of securities (Treasury securities, securities issued by government-sponsored agencies, and mortgage-backed securities) can be formally ranked in terms of their collateral values in the general...