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dc.contributor.advisorWu, Chunchi
dc.contributor.authorTao, Xinyuan
dc.contributor.author0000-0003-1888-3211
dc.date.accessioned2018-06-28T20:32:33Z
dc.date.available2018-06-28T20:32:33Z
dc.date.issued2018
dc.date.submitted2018-05-16 15:27:56
dc.identifier.urihttp://hdl.handle.net/10477/78006
dc.descriptionPh.D.
dc.description.abstractThe first essay documents that when Treasury securities go “off the run,” search frictions heighten and matching trades becomes more difficult. This event allows us to isolate the effects of search frictions on market quality and asset pricing. Price impact and the sensitivity of bid-ask spreads to trade size are significantly higher for off-the-runs, which are difficult to explain using models of asymmetric information. High search frictions result in sluggish price adjustment to new information and low informativeness of trades, leading to poor price discovery. Despite these adverse effects on market quality, we find no evidence that search frictions cause segmentation in the Treasury market.
dc.formatapplication/pdf
dc.language.isoen
dc.publisherState University of New York at Buffalo
dc.rightsUsers of works found in University at Buffalo Institutional Repository (UBIR) are responsible for identifying and contacting the copyright owner for permission to reuse. University at Buffalo Libraries do not manage rights for copyright-protected works and cannot assist with permissions.
dc.subjectFinance
dc.titleThree Essays in Asset Pricing and Investment
dc.typeDissertation
dc.typeText
dc.rights.holderCopyright retained by author.
dc.contributor.departmentFinance


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