Anticipated and Repeated Shocks in Liquid Markets

• 成果类型: Article
• 署名作者: Lou, Dong; Yan, Hongjun; Zhang, Jinfan
• 署名单位: University of London; London School Economics & Political Science; Yale University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht034
• 发表日期: 2013
• 页码: 1890
• 关键词: DEMAND CURVES; stocks

摘要

We show that Treasury security prices in the secondary market decrease significantly in the few days before Treasury auctions and recover shortly thereafter, even though the time and amount of each auction are announced in advance. These results are linked to dealers' limited risk-bearing capacity and end-investors' imperfect capital mobility, highlighting the important role of frictions even in very liquid financial markets. Our results imply a hidden issuance cost to the U. S. Department of the Treasury, estimated to be 9 to 18 bps of the auction size, or over half a billion dollars for the issuance size in 2007.