Assessing the Price Impact of Treasury Market Workups

Michael Fleming and Giang Nguyen

No 20190306c, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: The price impact of a trade derives largely from its information content. The “workup” mechanism, a trading protocol used in the U.S. Treasury securities market, is designed to mitigate the instantaneous price impact of a trade by allowing market participants to trade additional quantities of a security after a buyer and seller first agree on its price. Nevertheless, workup trades are not necessarily free of information. In this post, we assess the role of workups in price discovery, following our recent paper in the Review of Asset Pricing Studies (an earlier version of which was released as a New York Fed staff report).

Keywords: Workup; size discovery; Treasury market; information share; price impact (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2019-03-06
New Economics Papers: this item is included in nep-mst
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://libertystreeteconomics.newyorkfed.org/2019 ... -market-workups.html Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednls:87319

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Liberty Street Economics from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().