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XF-6DEK4OZ-U
Research / Academic Paper ACTIVE

Liquidity, taxes, and short-term treasury yields

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Abstract

This article investigates differences in yields on identical Treasury notes and bills and shows that they reflect differences in liquidity (immediacy) risk and taxes. It proposes an empirical measure for differences in the liquidity risk of notes and bills: the volatility of the underlying rate times the ratio of bills' turnover to notes' turnover. Because differential taxes affect sellers but not buyers of bills and notes, the results reject, free of informational problems, the hypothesis that the notes' demand curve is horizonta. Note-bill yield differences also decrease with inventories of notes—the less liquid asset.

Source: resolved

Document Metadata

Issuer
JSTOR
Document Type
Research / Academic Paper
Publication Year
1994
Retrieved
5 May 2026
Source
Contact XFID for Access
Record ID
XF6DEK4OZU
Validation
Inferred by XFID

Topics

Bond Pricing

Cited by (1)

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Academic / report citation
JSTOR (1994). Liquidity, taxes, and short-term treasury yields. XFID: XF-6DEK4OZ-U. Retrieved from https://xframework.id/XF6DEK4OZU
Identifier only
XF-6DEK4OZ-U