Eldor, Rafi; Hauser, Shmuel; Kahn, Michael; Kamara, Avraham - In: The Journal of Business 79 (2006) 4, pp. 2067-2098
We investigate nontradable and tradable identical Treasury derivatives. The nontradability premium is statistically and economically significant, and it covaries positively with interest rate volatility and relative tightness in the markets. Our data offer an almost-perfect laboratory to study...