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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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The scarcity value of treasury collateral : repo-market effects of security-specific supply and demand factors
D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2103-2129
Persistent link: https://www.econbiz.de/10011959074
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Safe-asset shortages : evidence from the European government bond lending market
Aggarwal, Reena; Bai, Jennie; Laeven, Luc - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 8, pp. 2689-2719
Persistent link: https://www.econbiz.de/10012705189
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Government intervention and strategic trading in the U.S. treasury market
Pasquariello, Paolo; Roush, Jennifer E.; Vega, Clara - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 1, pp. 117-157
Persistent link: https://www.econbiz.de/10012195551
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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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How does liquidity affect government bond yields?
Favero, Carlo A.; Pagano, Marco; Thadden, Ernst-Ludwig von - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 1, pp. 107-134
Persistent link: https://www.econbiz.de/10003984445
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Risk premia and the dynamic covariance between stock and bond returns
Scruggs, John T.; Glabadanidis, Paskalis - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 295-316
Persistent link: https://www.econbiz.de/10001766856