David R. Kuipers
YOU?
Author Swipe
View article: Price Premia For Cheapest-To-Deliver Bonds
Price Premia For Cheapest-To-Deliver Bonds Open
This paper tests for price pressure effects in the cash U.S. Treasury market for bonds that are the cheapest-to-deliver (CTD) instrument in the Treasury bond futures market. We find that there is a detectable and significant premium in the…