Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings

@article{Fleming2002AreLT,
  title={Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings},
  author={M. Fleming},
  journal={Capital Markets: Market Microstructure eJournal},
  year={2002}
}
  • M. Fleming
  • Published 2002
  • Business, Economics
  • Capital Markets: Market Microstructure eJournal
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 52 weeks to maturity and then "reopened" at 26 weeks are shown to be more liquid than comparable maturity bills that were first issued with 26 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… Expand
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