The Treasury Bill Auction And the When Issued Market Some Evidence

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The Treasury Bill Auction And the When Issued Market Some Evidence
Sushil Bikhchandani
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16 Std. Err.
0. 64 0. 64 0. 0098 0. 64 No. Positive 130 130 120 130 HR26-AR26 HR26-LR26 ASK26-LR26 ASK26-AR26 Sample Size 130 130 130 130 Max 0. 04 0. 15 0. 28 0. 24 Min 0. 00 0. 00 -0. 097 -0. 12 Mean 0. 0087 0. 036 0. 016 -0. 011 Std. Err.
0. 008 0. 025 0. 038 0. 037 No. Positive 99 128 101 32 ASK26-HR26 BID26-LR26 BID26-AR26 BID26-HR26 Sample Size 130 130 130 130 Max 0. 23 0. 28 0. 24 0. 23 Min -0. 14 -0. 087 -0. 107 -0. 107 Mean -0. 02 0. 028 0. 001 -0. 008 Std. Err.
0. 038 0. 038 0. 035 0.
... 036 No. Positive 22 116 62 36 BA26-F26 F26-Th26 Th26-W26 W26-T26 Sample Size 122 132 139 143 Max 0. 31 0. 33 0. 51 0. 28 Min -0. 39 -0. 56 -0. 40 -0. 34 Mean 0. 011 0. 008 -0. 002 0. 001 Std. Err.
0. 083 0. 096 0. 088 0. 09 No. Positive 69 62 56 77 AL26 CHG26 TERMPREM Sample Size 130 118 130 Max 0. 99 0. 125 0. 85 Min 0. 02 -0. 255 -0. 06 Mean 0. 497 -0. 001 0. 188 Std. Err.
0. 282 0. 0505 0. 182 No. Positive 130 53 116 JO TABLES 25 Table 3: Sample Correlation Coefficients^ B1D13 AR13 HR13-LR13 AL13 SPRD13 TERMPREM CHG13 B1D13 1.


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