Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market

2001 ◽  
Author(s):  
Ilya A. Strebulaev
Keyword(s):  
Asset Pricing ◽  
Securities Market ◽  
Treasury Securities ◽  
The U.S

scholarly journals Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market

2018 ◽  
Vol 9 (2) ◽  
pp. 256-295 ◽  
Author(s):  
Michael J Fleming ◽  
Giang Nguyen
Keyword(s):  
Yield Curve ◽  
Securities Market ◽  
Order Flow ◽  
Treasury Securities ◽  
Oxford University ◽  
Informed Traders ◽  
Nature Of Information ◽  
Editorial Decision ◽  
To Come ◽  
The U.S

Abstract We study the workup protocol, an important size discovery mechanism in the U.S. Treasury market. We find that workup order flow shocks explain 6%–8% of the variation of returns on benchmark notes and, across maturities, 10% of the variation of the yield curve level factor. Information related to proprietary client order flow is more likely to show up in workup trades, whereas information derived from public announcements tends to come through preworkup trades. Our findings highlight how the nature of information affects the trade-off between speed and execution price when informed traders choose between the lit and workup channels. Received May 3, 2017; Editorial decision August 1, 2018 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. Internet Appendix tables are numbered with “IA” prefix.

scholarly journals Investors´ protection in the U.S.: the issue of mandatory arbitration clauses in contracts between investors and brokerage/advisory firms

2017 ◽  
Vol 13 (2) ◽  
pp. 520-536
Author(s):  
DÉBORA CHAVES MARTINES FERNANDES
Keyword(s):  
United States ◽  
American Literature ◽  
Supreme Court ◽  
Securities Market ◽  
Middle Ground ◽  
Arbitration Clause ◽  
Pros And Cons ◽  
The U.S

Abstract This paper proposes a review of the American literature, as well as the main rulings of Supreme Court of United States, aiming to map the pros and cons of inserting a mandatory pre-dispute arbitration clause in contracts between investors and brokerage/advisory firms that trade on the securities market. The study discusses some proposals to banish this sort of clause and some ideas to reach a middle ground solution.

scholarly journals Economic Conditions And The SECs Enforcement Process

2011 ◽  
Vol 11 (2) ◽  
pp. 23 ◽  
Author(s):  
Mahmoud M. Nourayi
Keyword(s):  
Securities Market ◽  
Economic Conditions ◽  
Economic Downturn ◽  
Regulatory Behavior ◽  
Economic Downturns ◽  
Business Behavior ◽  
The U.S

This study analyzes enforcement activities of the U.S. Security and Exchange Commission (SEC) in conjunction with changes in economic conditions. Neoclassical regulatory theorists argue that regulators are pro-business during periods of economic downturn. However, within the securities market and the regulated reporting environments violations tend to increase during contraction periods. Therefore, more intense enforcement activities seem appropriate during such periods. The intensity of SEC enforcement activities, subject to economic conditions, is examined based on the number of litigation releases issued by the Commission over a twenty year (1972-1991) period. The test of regulatory behavior revealed that enforcement activities are more intense during economic downturns. Thus the theory that regulators exhibit pro-business behavior during economic contraction is not supported by the results of this study.

The Impact of the Employment Report and Forecasts Thereof on Fixed-Income Markets

2018 ◽  
Keyword(s):  
Interest Rates ◽  
Analyst Forecasts ◽  
Securities Market ◽  
Fixed Income ◽  
Market Uncertainty ◽  
Employment Level ◽  
Treasury Securities ◽  
Labor Statistics ◽  
Bureau Of Labor Statistics ◽  
The Impact

The authors examine the impact that the monthly Employment Situation Report issued by the Bureau of Labor Statistics (BLS) and the analyst forecasts of that report have on the U.S. Treasury securities market. Surprise increases in total non-farm payroll employment lead to increases in interest rates (especially one- to five-year rates), and surprise decreases lead to smaller declines in interest rates. This interest rate reaction is conditioned on the level of analyst uncertainty about the coming report. Interest rates also react to subsequent revisions of the payroll employment figures. Analyst forecasts as compiled by Bloomberg are unbiased forecasts of the BLS numbers and correctly anticipate most employment level changes. Moreover, there is evidence that the markets react to these forecasts prior to the BLS release. The authors also find that the release of the employment report lowers market uncertainty about future interest rates.

United States Treasury Securities

2019 ◽  
pp. 121-138
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Interest Rates ◽  
Federal Government ◽  
Yield Curve ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
United States Treasury ◽  
Treasury Bills ◽  
Treasury Securities ◽  
Treasury Department ◽  
The U.S

This chapter begins with a discussion of the purpose and goals of treasury securities. Treasury securities are a type of debt instrument providing limited credit risk. U.S. Treasury bills, notes, and bonds are issued by the Treasury Department and represent direct obligations of the U.S. government. Treasury securities are used to meet the needs of investors who wish to “loan” money to the federal government and in return receive a fixed or floating interest rate. The Treasury yield curve is a benchmark for fixed income securities across the spectrum of debt securities. The remainder of the chapter covers types of treasury securities, pricing, bond auctions and their effect on price, interest rates, and STRIPS (separate trading of registered interest and principal securities).

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