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The flight-to-liquidity premium in US treasury bond prices

Longstaff, Francis A. - 2002

Persistent link: https://www.econbiz.de/10001710528

The flight-to-liquidity premium in US Treasury bond prices

Longstaff, Francis A. - In: The journal of business : B 77 (2004) 3, pp. 511-526

Persistent link: https://www.econbiz.de/10002205049

Financial innovation and tahe role of derivative securities : an empirical analysis of the Treasury STRIPS program

Grinblatt, Mark; Longstaff, Francis A. - In: The journal of finance : the journal of the American … 55 (2000) 3, pp. 1415-1436

Persistent link: https://www.econbiz.de/10001497630

The market price of credit risk : an empirical analysis of interest rate swap spreads

Liu, Jun; Longstaff, Francis A.; Mandell, Ravit E. - 2002

Persistent link: https://www.econbiz.de/10001675869

Revenue implications of multi-item multi-unit auction designs : empirical evidence from the US treasury buyback auctions

Han, Bing (contributor); Longstaff, Francis A. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002453680

Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes

Fleckenstein, Matthias - 2018

We identify a significant premium in the prices of Treasury floating rate notes (FRNs) relative to both Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and differs from the liquidity and on-the-run premia in Treasury security prices previously...

Persistent link: https://www.econbiz.de/10012908475

Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle

Fleckenstein, Matthias - 2010

We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS-Treasury mispricing has exceeded $56...

Persistent link: https://www.econbiz.de/10013138312

Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle

Fleckenstein, Matthias - 2012

We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly replicating the cash flows of the Treasury bond can differ by more than \$20 per \$100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS–Treasury mispricing has exceeded \$56...

Persistent link: https://www.econbiz.de/10013115725

Why does the treasury issue tips? : the tips-treasury bond puzzle

Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - 2010

Persistent link: https://www.econbiz.de/10008663044

The US Treasury buyback auctions : the cost of retiring illiquid bonds

Han, Bing; Longstaff, Francis A.; Merrill, Craig B. - In: The journal of finance : the journal of the American … 62 (2007) 6, pp. 2673-2693

Persistent link: https://www.econbiz.de/10003593799