Are larger treasury issues more liquid?
Subtitle: evidence from bill reopenings
By: Michael J. Fleming.
Contributors: Federal Reserve Bank of New York.
Series: Staff reports ;; no. 145; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 145.
Publisher: Federal Reserve Bank of New York
Published: 2002
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Treasury bills.
Description: "This paper makes use of a natural experiment of the U.S.  Treasury Department to examine the relationship between Treasury security issue size and liquidity.  Treasury bills that were first issued with fifty-two weeks to maturity and then reopened at twenty-six weeks are shown to be more liquid than comparable maturity bills that were first issued with twenty-six weeks to maturity.  The relationship is less pronounced when bills are on-the-run (the most recently auctioned bills of a given maturity) than when they are off-the-run, and persists when controlling for other factors that affect liquidity.  The reopened bills are found to have higher yields (lower prices) than comparable maturity bills, showing that the indirect liquidity benefits of reopenings are more than offset by the direct supply costs"--Federal Reserve Bank of New York web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 3/1/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.