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When Is a Treasury Security On-the-Run?

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  • Mark E. Moore
  • Drew B. Winters

Abstract

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.

Suggested Citation

  • Mark E. Moore & Drew B. Winters, 2014. "When Is a Treasury Security On-the-Run?," The Financial Review, Eastern Finance Association, vol. 49(1), pages 77-88, February.
    • Handle: RePEc:bla:finrev:v:49:y:2014:i:1:p:77-88
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    File URL: http://hdl.handle.net/10.1111/fire.12026
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