Griffiths, Mark D.; Lindley, James T.; Winters, Drew B. - In: Journal of Banking & Finance 34 (2010) 9, pp. 2146-2157
We focus on market-making costs by examining the daily bid-ask spreads for off-the-run, one-month Treasury bills around two liquidity-changing events. Event one, Salomon Brothers' supply shock, results in a roughly 2.5-basis-point increase in the spread because of an increase in ask prices; and...