Han, Bing; Longstaff, Francis A.; Merrill, Craig - Charles A. Dice Center for Research in Financial … - 2005
We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its debt. We find that the Treasury was successful in buying back large amounts of illiquid debt while suffering only a small volatility-related market-impact cost. Although the...