Brandt is at the Fuqua School of Business, Duke University, and is also affiliated with the NBER. Kavajecz is at the School of Business, University of Wisconsin at Madison. For helpful comments, we thank Alessandro Beber; Roger Edelen; Michael Fleming; Clifton Green; Rick Green; Simon Gervais; Nick Souleles; Rob Stambaugh; René Stulz; Amir Yaron; an anonymous referee; and seminar participants at Arizona State University, the University of Colorado, University of Maryland, University of Pennsylvania, and Morgan Stanley Dean Witter. In addition, we thank Patricia Kelt of GovPX for explaining their data. Financial support from the Rodney L. White Center for Financial Research at the Wharton School of the University of Pennsylvania is gratefully acknowledged. All remaining errors are our own.
Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
Version of Record online: 27 NOV 2005
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 6, pages 2623–2654, December 2004
How to Cite
BRANDT, M. W. and KAVAJECZ, K. A. (2004), Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve. The Journal of Finance, 59: 2623–2654. doi: 10.1111/j.1540-6261.2004.00711.x
- Issue online: 27 NOV 2005
- Version of Record online: 27 NOV 2005
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