Several explanations of Treasury bond stripping have been proposed including interest rate risk management, taxes, and market completion. Our findings suggest that stripping is affected by each of these factors. First, we find that higher coupon and longer maturity Treasury bonds are more...

Unique features and market frictions can lead to idiosyncratic pricing for some US Treasury securities. This study uses a linear programming (LP) model to measure aggregate idiosyncratic pricing of T-notes and T-bonds from 1980 to 2016. We document an average idiosyncratic pricing of $0.11 per...