When Is a Treasury Security On-the-Run?

Mark E. Moore and Drew B. Winters

The Financial Review, 2014, vol. 49, issue 1, 77-88

Abstract: The literature contains two conflicting definitions of the on-the-run period for Treasury securities. We address the conflict by empirically examining the implications of the two definitions. We conclude that it is important that researchers clearly understand the implications of each definition. Our results suggest that on-the-run activity spans different auction calendar time in T-notes and T-bills.

Date: 2014
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