The DOI matches its Crossref record.
The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market
Open accessAbstract
This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the on/off cycle. Comparing pairs of securities in time-series regressions allows us to disregard any fixed cross-sectional differences between securities. Also, since the liquidity of Treasury notes varies predictably over time, we can distinguish between current and future liquidity. We compare a variety of (microstructure-based) direct measures of liquidity to compare their effects on prices. We show that the liquidity premium depends primarily on the amount of remaining future liquidity.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cited by
The effect of pro-environmental preferences on bond prices: Evidence from green bonds
Zerbib, O. D. (2019) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2018.10.012 · Cited by 1,379
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Metadata
- Authors
- Goldreich, D., Hanke, B., & Nath, P.
- Venue
- Review of Finance
- Publisher
- Oxford University Press (OUP)
- Published
- 2005-01-01
- Volume
- 9
- Issue
- 1
- Pages
- 1-32
- ISSN
- 1382-6662 (ISSN-L)
- 1573-692X
- 1572-3097
- OpenAlex
- W3124283424
- Cited by
- 183
- References
- 0
- FWCI
- 17.04
- Type
- journal article
- Language
- en
- Open access
- bronze
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market. https://app.cochat.ai/papers/10.1007/s10679-005-2986-x
- The paper
- Goldreich, D., Hanke, B., & Nath, P. (2005). The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market. Review of Finance. https://doi.org/10.1007/s10679-005-2986-x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
