A Search-Based Theory of the On-the-Run Phenomenon

Journal of Finance

Volumn 63, Issue 3, 2008, Pages 1361-1398

  Vayanos, Dimitri ^a   Weill, Pierre Olivier ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 43649096200     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2008.01360.x     Document Type: Article

References (47)

1. Admati, Anat R., and Paul Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.
2. Aiyagari, Rao, and Mark Gertler, 1991, Asset returns with transaction costs and uninsurable individual risks: A stage III exercise, Journal of Monetary Economics 27, 309-331.
3. Aiyagari, Rao S., Neil Wallace, and Randall Wright, 1996, Coexistence of money and interest-bearing securities, Journal of Monetary Economics 37, 397-419.
4. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
5. Amihud, Yakov, and Haim Mendelson, 1991, Liquidity, maturity, and the yield on U.S. Treasury securities, Journal of Finance 46, 479-486.
6. Barclay, Michael J., Terrence Hendershott, and Kenneth Kotz, 2006, Automation versus intermediation: Evidence from Treasuries going off the run, Journal of Finance 61, 2395-2414.
7. Boudoukh, Jacob, and Robert F. Whitelaw, 1991, The benchmark effect in the Japanese government bond market, Journal of Fixed Income 2, 52-59.
8. Boudoukh, Jacob, and Robert F. Whitelaw, 1993, Liquidity as a choice variable: A lesson from the Japanese government bond market, Review of Financial Studies 6, 265-292.
9. Buraschi, Andrea, and David Menini, 2002, Liquidity risk and specialness, Journal of Financial Economics 64, 243-284.
10. Burdett, Kenneth, and Maureen O'Hara, 1987, Building blocks: An introduction to block trading, Journal of Banking and Finance 11, 193-212.
11. Chowdhry, Bhagwan, and Vikram Nanda, 1991, Multimarket trading and market liquidity, Review of Financial Studies 4, 483-511.
12. Constantinides, George M., 1986, Capital market equilibrium with transaction costs, Journal of Political Economy 94, 842-862.
13. Cornell, Bradford, and Alan C. Shapiro, 1989, The misspricing of U.S. Treasury bonds: A case study, Review of Financial Studies 2, 297-310.
14. Diamond, Peter A., 1982, Aggregate demand management in search equilibrium, Journal of Political Economy 90, 881-894.
15. Duffie, Darrell, 1996, Special repo rates, Journal of Finance 51, 493-526.
16. Duffie, Darrell, Nicolae Gârleanu, and Lasse H. Pedersen, 2002, Securities lending, shorting, and pricing, Journal of Financial Economics 66, 307-339.
17. Duffie, Darrell, Nicolae Gârleanu, and Lasse H. Pedersen, 2005, Over-the-counter markets, Econometrica 73, 1815-1847.
18. Duffie, Darrell, Nicolae Gârleanu, and Lasse H. Pedersen, 2007, Valuation in over-the-counter markets, Review of Financial Studies 20, 1865-1900.
19. Duffie, Darrell, and Yeneng Sun, 2007, Existence of independent random matching, Annals of Applied Probability 17, 386-419.
20. Dupont, Dominique, and Brian Sack, 1999, The Treasury securities market: Overview and recent developments, Federal Reserve Bulletin December, 785-806.
21. Economides, Nicholas, and Aloysius Siow, 1988, The division of markets is limited by the extent of liquidity, American Economic Review 78, 108-121.
22. Ellison, Glenn, and Drew Fudenberg, 2003, Knife edge of plateau: When do markets tip Quarterly Journal of Economics 118, 1249-1278.
23. Fleming, Michael J., 1997, The round-the-clock market for U.S. Treasury securities, Federal Reserve Bank of New York Economic Policy Review, 9-32.
24. Fleming, Michael J., 2002, Are larger Treasury issues more liquid? Evidence from bill reopenings, Journal of Money, Credit, and Banking 3, 707-35.
25. Fleming, Michael J., 2003, Measuring Treasury market liquidity, Federal Reserve Bank of New York Economic Policy Review, 83-108.
26. Goldreich, David, Bernd Hanke, and Purnendu Nath, 2005, The price of future liquidity: Time-varying liquidity in the U.S. Treasury market, Review of Finance 9, 1-32.
27. Graveline, Jeremy J., and Matthey R. McBrady, 2007, Who makes the on-the-run Treasuries special Working paper, Carlson School of Management, University of Minnesota .
28. Heaton, John, and Deborah J. Lucas, 1996, Evaluating the effects of incomplete markets on risk sharing and asset pricing, Journal of Political Economy 104, 443-487.
29. Huang, Ming, 2003, Liquidity shocks and equilibrium liquidity premia, Journal of Economic Theory 109, 104-129.
30. Ibbotson, 2004, Stock, Bonds, Bills, and Inflation Statistical Yearbook (Ibbotson Associates, Chicago ).
31. Jordan, Bradford D., and Susan D. Jordan, 1997, Special repo rates: An empirical analysis, Journal of Finance 52, 2051-2072.
32. Keim, Donald B., and Ananth Madhavan, 1996, The upstairs market for large-block transactions: Analysis and measurement of price effects, Review of Financial Studies 9, 1-36.
33. Kiyotaki, Nobuhiro, and Randall Wright, 1989, On money as a medium of exchange, Journal of Political Economy 97, 927-954.
34. Krishnamurthy, Arvind, 2002, The bond/old-bond spread, Journal of Financial Economics 66, 463-506.
35. Lo, Andrew W., Harry Mamaysky, and Jiang Wang, 2004, Asset prices and trading volume under fixed transactions costs, Journal of Political Economy 112, 1054-1090.
36. Mason, R., 1987, The 10-year bond markets, Credit Suisse First Boston, CSFB Research.
37. Moulton, Pamela C., 2004, Relative repo specialness in U.S. Treasuries, Journal of Fixed Income 14, 40-49.
38. Pagano, Marco, 1989, Endogenous market thinness and stock price volatility, Review of Economic Studies 56, 269-287.
39. Strebulaev, Ilya, 2007, Liquidity and asset pricing: Evidence from the U.S. Treasury securities market, Working paper, Graduate School of Business, Stanford University .
40. Sundaresan, Suresh, 2002, Fixed Income Markets and Their Derivatives (South-Western Publishing Company Cincinnati, OH).
41. Trejos, Alberto, and Randall Wright, 1995, Search, bargaining, money, and prices, Journal of Political Economy 103, 118-141.
42. Vayanos, Dimitri, 1998, Transaction costs and asset prices: A dynamic equilibrium model, Review of Financial Studies 11, 1-58.
43. Vayanos, Dimitri, and Jean-Luc Vila, 1999, Equilibrium interest rate and liquidity premium with transaction costs, Economic Theory 13, 509-539.
44. Vayanos, Dimitri, and Tan Wang, 2007, Search and endogenous concentration of liquidity in asset markets, Journal of Economic Theory 136, 66-104.
45. Wallace, Neil, 2000, A model of the liquidity yield structure based on asset indivisibility, Journal of Monetary Economics 45, 55-68.
46. Warga, Arthur, 1992, Bond returns, liquidity, and missing data, Journal of Financial and Quantitative Analysis 27, 605-617.
47. Weill, Pierre-Olivier, 2007, Liquidity premia in dynamic bargaining markets, Journal of Economic Theory, (forthcoming ).