Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market
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 pro...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Oxford University Press
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |