Pasquariello, Paolo; Vega, Clara - In: Journal of Financial Economics 92 (2009) 1, pp. 1-24
We test the implications of a model of multi-asset speculative trading in which liquidity differentials between on-the-run and off-the-run U.S. Treasury bonds ensue from endowment shocks in the presence of two realistic market frictions--information heterogeneity and imperfect competition among...