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New Issue Yield Spreads in the 30-Year Treasury Bond Market

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  • Lasser, Dennis J
  • Barrett, W Brian

Abstract

This paper investigates the seasoning process of yield spreads between newly issued and seasoned thirty-year Treasury bonds. These securities provide a unique data set for analyzing this relationship in that they allow for control of noncoupon differences between securities that were present in previous studies on corporate bonds. The results indicate that, in contrast to the existing literature, there appears to be a price premium for newly issued securities. The authors attribute this difference primarily to be a function of a higher degree of liquidity inherent to newly issued Treasury bonds. Copyright 1991 by MIT Press.

Suggested Citation

  • Lasser, Dennis J & Barrett, W Brian, 1991. "New Issue Yield Spreads in the 30-Year Treasury Bond Market," The Financial Review, Eastern Finance Association, vol. 26(2), pages 237-247, May.
    • Handle: RePEc:bla:finrev:v:26:y:1991:i:2:p:237-47
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