The absorption effect of US Treasury auctions

The absorption effect of US Treasury auctions An event study methodology shows that the relative yields of off-the-run Treasury securities are not insulated from the effects related to the auction calendar. A statistically significant but short-lived increase in relative yields is associated with the introduction of additional cashflows at corresponding and neighboring horizons. This absorption effect, where the additional supply of cashflows is associated with lower prices, is identified separately from the liquidity effect, where newly auctioned issues obtain higher prices. While sensitive to the specification of event window, an analogous methodology employed for on-the-run bonds, finds a 1-day negative effect at the benchmark 5-, 10-, and 30-year horizons. Review of Quantitative Finance and Accounting Springer Journals

The absorption effect of US Treasury auctions

Loading next page...
Springer US
Copyright © 2013 by Springer Science+Business Media New York
Economics / Management Science; Finance/Investment/Banking; Accounting/Auditing; Econometrics; Operations Research/Decision Theory
Publisher site
See Article on Publisher Site


  • The event study methodology since 1969
    Binder, J
  • Measuring security price performance
    Brown, S; Warner, J

You’re reading a free preview. Subscribe to read the entire article.

DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches


Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.



billed annually
Start Free Trial

14-day Free Trial