Anticipated and Repeated Shocks in Liquid Markets *

@inproceedings{Lou2011AnticipatedAR,
  title={Anticipated and Repeated Shocks in Liquid Markets *},
  author={Dong Lou},
  year={2011}
}
This paper examines how anticipated and frequently repeated shocks are absorbed in liquid financial markets. We show that Treasury security prices in the secondary market decrease significantly in the few days leading up to subsequent Treasury auctions and recover shortly after, despite the fact that both the exact time and amount of each auction are announced in advance. This price pattern implies a substantial issuance cost to the Treasury Department, estimated to be between 9 and 18 basis… CONTINUE READING
Highly Cited
This paper has 22 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 34 references

Lets Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2

  • Swanson, Eric
  • 2011

Selling to Slow-Moving Investors, working paper

  • Jin, Jiaqi, Hongjun Yan
  • 2011

The Effects of Quantitative Easing on Interest Rates, working paper

  • Krishnamurthy, Arvind, Annette
  • Vissing-Jorgensen,
  • 2011

Do Peso Problems Explain the Returns to the Carry Trade? Review of Financial Studies, forthcoming

  • Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski, Sergio Rebelo
  • 2010

Reputation Concerns and Slow-Moving Capital, working paper

  • Malliaris, Steven, Hongjun Yan
  • 2010

Trading during Financial Crisis: Evidence from Insurance Companies, working paper

  • Jiang, Wenxi, Hongjun Yan, Tong Yu
  • 2010

Similar Papers

Loading similar papers…