Babbel, David F.; Merrill, Craig B.; Meyer, Mark F.; de … - In: Journal of Financial and Quantitative Analysis 39 (2004) 03, pp. 595-611
This paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and measures the degree of price pressure in the off-the-run Treasury market. As is well known, securities that would appear to be very close substitutes, i.e., on-the-run and off-the-run...