The issuing policy of the U.S. Treasury allows us to unambiguously isolate maturity-dependent liquidity premia in the Treasury market. We determine and analyze three term structures of liquidity premia obtained from observed yields of coupon STRIPS, observed yields of principal STRIPS, and...

Coupon and principal STRIPS maturing at the same date often trade at different yields. This paper analyzes for the first time the maturity structure of these differences for the U.S. Treasury STRIPS market and surprisingly finds that short-term coupon STRIPS persistently trade at lower yields...