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New Issue Yield Spreads in the 30‐Year Treasury Bond Market
Author(s) -
Lasser Dennis J.,
Barrett W. Brian
Publication year - 1991
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1991.tb00379.x
Subject(s) - treasury , bond , yield (engineering) , market liquidity , business , fixed income , monetary economics , financial economics , financial system , economics , finance , materials science , archaeology , metallurgy , history
This paper investigates the seasoning process of yield spreads between newly issued and seasoned 30‐year Treasury bonds. These securities provide a unique data set for analyzing this relationship in that they allow for control of noncoupon differences between securities that were present in previous studies on corporate bonds. The results indicate that, in contrast to the existing literature, there appears to be a price premium for newly issued securities. We attribute this difference primarily to be a function of a higher degree of liquidity inherent to newly issued Treasury bonds.