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Price Discovery in the Treasury-Bill When-Issued Market

โœ Scribed by Mercer, Jeffrey M.; Moore, Mark E.; Whitby, Ryan J.; Winters, Drew B.


Book ID
119856498
Publisher
John Wiley and Sons
Year
2013
Tongue
English
Weight
861 KB
Volume
48
Category
Article
ISSN
0732-8516

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Price discovery in the treasury futures
โœ Michael W. Brandt; Kenneth A. Kavajecz; Shane E. Underwood ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 165 KB ๐Ÿ‘ 1 views

## Abstract The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury