We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as macroeconomic variables are found to significantly impact yields. Secondary trading in a centralized transparent electronic limit order book enhances liquidity and thus reduce yields....

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the UK market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...