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The term structure of bond market liquidity and its implications for expected bond returns
Goyenko, Ruslan; Subrahmanyam, Avanidhar; Ukhov, Andrey - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 1, pp. 111-139
Persistent link: https://www.econbiz.de/10008991268
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Are treasury securities free of default?
Nippani, Srinivas; Liu, Pu; Schulman, Craig T. - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 2, pp. 251-265
Persistent link: https://www.econbiz.de/10001626027
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Day-of-the-week effects in financial futures : an analysis of GNMA, T-bond, T-note, and T-bill contracts
Tashjian, Elizabeth - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10001102371
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Economic news and bond prices : evidence from the US treasury market
Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 4, pp. 523-543
Persistent link: https://www.econbiz.de/10001651573
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Fiscal policy, consumption risk, and stock returns : evidence from U.S. states
Da, Zhi; Warachka, Mitch; Yun, Hayong - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 109-136
Persistent link: https://www.econbiz.de/10011929408
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Equity trading activity and treasury bond risk premia
Schraeder, Stefanie; Sojli, Elvira; Subrahmanyam, Avanidhar - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 2, pp. 677-710
Persistent link: https://www.econbiz.de/10014309233
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Stock and bond market liquidity : a long-run empirical analysis
Goyenko, Ruslan Y.; Ukhov, Andrey D. - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 189-212
Persistent link: https://www.econbiz.de/10003854599
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Information shocks, liquidity shocks, jumps, and price discovery : evidence from the US treasury market
Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 2, pp. 527-551
Persistent link: https://www.econbiz.de/10009153191
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The effect of transaction size on off-the-run treasury prices
Babbel, David F.; Merrill, Craig B.; Meyer, Mark F.; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 3, pp. 595-611
Persistent link: https://www.econbiz.de/10002233851
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Pricing treasury inflation protected securities and related derivatives using an HJM model
Jarrow, Robert A.; Yildirim, Yildiray - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 337-356
Persistent link: https://www.econbiz.de/10001766868