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Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills

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  • Simon, David P.
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    File URL: http://journals.cambridge.org/abstract_S002210900000747X
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 26 (1991)
    Issue (Month): 01 (March)
    Pages: 97-108

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    Handle: RePEc:cup:jfinqa:v:26:y:1991:i:01:p:97-108_00

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    Cited by:
    1. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York.
    2. Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 595-611, September.
    3. Jinfan Zhang & Hongjun Yan & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," 2011 Meeting Papers 1446, Society for Economic Dynamics.
    4. Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 707-35, August.
    5. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.
    6. Timothy Q. Cook, 1998. "Treasury bills," Monograph, Federal Reserve Bank of Richmond, number 1998t.
    7. Paul Bennett & Kenneth Garbade & John Kambhu, 1999. "Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-083, New York University, Leonard N. Stern School of Business-.
    8. Paul Bennett & Kenneth Barbade & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 89-119.
    9. Sergio Zúñiga J., 2001. "Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(1), pages 5-24, April.
    10. Fan, Longzhen & Zhang, Chu, 2007. "Beyond segmentation: The case of China's repo markets," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 939-954, March.

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