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Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills

Published online by Cambridge University Press:  06 April 2009

David P. Simon
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Abstract

This paper examines cash management bill announcements in an event study framework and finds that segmentation in the Treasury bill market is widespread and not limited to bills maturing across month-ends. Announcements of cash management bills, which represent unexpected additional supplies of outstanding Treasury bills, cause the yields on these bills to rise significantly relative to yields on adjacent maturity bills. This paper also finds, consistent with other studies, that segmentation is greater at the short end of the bill market.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 26 , Issue 1 , March 1991 , pp. 97 - 108
Copyright
Copyright © School of Business Administration, University of Washington 1991

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