Fleming, Michael J.; Garbade, Kenneth D.; Keane, Frank - In: Journal of Financial Research 28 (2005) 2, pp. 165-176
We show that Treasury bill auction procedures create classes of price-equivalent discount rates for bills with less than 72 days to maturity. We argue that it is inefficient for market participants to bid at a discount rate that is not the minimum rate in its class. The inefficiency of bidding...