Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market
Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market
复制标题
流动性和资产定价的多面性：来自美国国债市场的证据
DOI：
10.2139/ssrn.275843
复制
发表时间：
2002
期刊：
影响因子：
--
通讯作者：
Ilya A. Strebulaev
中科院分区：
文献类型：
--
作者：
Ilya A. Strebulaev
本文利用美国国债交易商间交易日数据检验了非流动性溢价假说。与现有文献中票据与票据在到期日上匹配的情况不同，我们将票据与同一天到期的其他票据进行了比较。比较票据与票据而不是票据与票据的一个原因是，票据和票据之间税收处理的差异可能会导致一个衡量非流动性效应的实验。我们发现，尽管票据的流动性存在很大差异，但它们的报价基本相同。这种对假设的否定与以前的研究结果（Amihud和Mendelson，1991）形成鲜明对比。因此我们重新考虑基于匹配票据的证据。我们确定了不能被非流动性溢价假说支持的票据定价的横截面变化。我们还表明，与运行票据匹配的定价差异较小，尽管这些票据和票据之间的流动性差异显著较大。
AbstractThis paper tests the illiquidity premium hypothesis using U.S. Treasury securi-ties intraday interdealer data. In contrast to the existing literature where notes arematched with bills in terms of maturity date, we compare notes with other notes maturing on the same day. One reason for comparing notes with notes rather thannotes with bills is that differences in tax treatment across bills and notes could con-front an experiment to measure the illiquidity effect. We find that notes are quotedat essentially identical prices despite substantial differences in their liquidity. Thisrejection of the hypothesis is in sharp contrast to the result of previous studies(Amihud and Mendelson, 1991). Therefore we reconsider the evidence based onmatched bills and notes. We identify cross-sectional variation in bill-note pricingdifferences that cannot be supported by the illiquidity premium hypothesis. Wealso show that the pricing difference is smaller for matches with on-the-run bills,although the difference in liquidity between these bills and notes is significantlylarger.