Noise as Information for Illiquidity

Material TypeArticleLanguageEnglish
TitleNoise as Information for Illiquidity Author(S)GRACE XING HU (Author)
Abstract  We propose a market-wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed “noise” in U.S. Treasury bonds—the shortage of arbitrage capital allows yields to deviate more freely from the curve ...Paginationp2341-2382
Journal TitleThe Journal of Finance  
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