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From trade-to-trade in US Treasuries

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Bond liquidity premia

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Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other...

Persistent link: https://www.econbiz.de/10003933337