When is a treasury security on-the-run?

Mark E. Moore, Drew B. Winters

Research output: Contribution to journalArticlepeer-review

Abstract

The literature contains two conflicting definitions of the on-the-run period for Treasury securities. We address the conflict by empirically examining the implications of the two definitions. We conclude that it is important that researchers clearly understand the implications of each definition. Our results suggest that on-the-run activity spans different auction calendar time in T-notes and T-bills.

Original languageEnglish
Pages (from-to)77-88
Number of pages12
JournalFinancial Review
Volume49
Issue number1
DOIs
StatePublished - Feb 2014

Keywords

  • On-the-run
  • Treasury securities

Fingerprint

Dive into the research topics of 'When is a treasury security on-the-run?'. Together they form a unique fingerprint.

Cite this