When Is a Treasury Security On‐the‐Run?. Issue 1 (February 2014)

• Record Type: Journal Article
• Authors: Moore, Mark E.; Winters, Drew B.
• Is Part Of: Financial review. Volume 49:Issue 1(2014)
• Page Start: 77
• Page End: 88
• Publication Date: 2014-02
• Subjects: Finance -- United States -- Periodicals; Finance -- Periodicals; 332
• DOI: 10.1111/fire.12026
• Languages: English
• ISSNs: 0732-8516

Abstract

<abstract abstract-type="main"> <title>Abstract</title> <p>The literature contains two conflicting definitions of the on‐the‐run period for Treasury securities. We address the conflict by empirically examining the implications of the two definitions. We conclude that it is important that researchers clearly understand the implications of each definition. Our results suggest that on‐the‐run activity spans different auction calendar time in T‐notes and T‐bills.</p> </abstract>