Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"Off-the-run"”.
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Dislocation
… markets. I propose a dislocation factor (DIS), the first principle of three fixed-income market dislocations, including covered interest parity, on/off the run spread, and treasury noise measure. DIS surges when the market is under stress and indicates broad market conditions such as liquidity, …
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Three Essays in Asset Pricing and Investment
The first essay documents that when Treasury securities go “off the run,” search frictions heighten and matching trades becomes more difficult. This event allows us to isolate the effects of search frictions on market quality and asset pricing. Price impact and the sensitivity of bid-ask spreads to …
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Three Essays in Empirical Asset Pricing
The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed …