Dealer behavior in the specials market for US Treasury securities Export

@article{citeulike:1221845, abstract = {We assess dealer behavior in the specials market for US Treasury securities by comparing dealer participation in the Federal Reserve's securities loan auctions with prices in the private market. Dealer behavior is generally consistent with the law of one price and apparent violations can largely be explained by institutional differences between the private market and the Fed's program. However, for auctions that are effectively noncompetitive, dealers regularly pass up true arbitrage opportunities and frequently overpay to borrow securities. Dealers apparently do not realize that certain auctions are noncompetitive, even though the information needed to discern this fact is publicly available in advance.}, author = {Fleming, Michael J. and Garbade, Kenneth D.}, citeulike-article-id = {1221845}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jfi.2006.12.003}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6WJD-4MT5K1B-1/2/1ed35f4270f06a30271971eebb838718}, doi = {10.1016/j.jfi.2006.12.003}, journal = {Journal of Financial Intermediation}, keywords = {bond, finance, markets, microstructure}, month = {April}, number = {2}, pages = {204--228}, posted-at = {2007-04-12 10:01:26}, priority = {4}, title = {Dealer behavior in the specials market for US Treasury securities}, url = {http://dx.doi.org/10.1016/j.jfi.2006.12.003}, volume = {16}, year = {2007} }

TY - JOUR ID - citeulike:1221845 L3 - citeulike-article-id:1221845 N2 - We assess dealer behavior in the specials market for US Treasury securities by comparing dealer participation in the Federal Reserve's securities loan auctions with prices in the private market. Dealer behavior is generally consistent with the law of one price and apparent violations can largely be explained by institutional differences between the private market and the Fed's program. However, for auctions that are effectively noncompetitive, dealers regularly pass up true arbitrage opportunities and frequently overpay to borrow securities. Dealers apparently do not realize that certain auctions are noncompetitive, even though the information needed to discern this fact is publicly available in advance. IS - 2 JF - Journal of Financial Intermediation EP - 228 TI - Dealer behavior in the specials market for US Treasury securities VL - 16 SP - 204 KW - bond KW - finance KW - markets KW - microstructure AU - Fleming, Michael AU - Garbade, Kenneth PY - 2007/04// UR - http://dx.doi.org/10.1016/j.jfi.2006.12.003 ER -