When Is a Treasury Security On‐the‐Run?

Published date01 February 2014
Date01 February 2014
The Financial Review 49 (2014) 77–88
When Is a Treasury Security On-the-Run?
Mark E. Moore
TexasTech University
Drew B. Winters
TexasTech University
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. Weconclude 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.
Keywords: treasury securities, on-the-run
JEL Classifications: G10, G18
1. Introduction
Akay, Cyree, Griffiths and Winters (2012) note in their footnote 10 that more
than one definition for the on-the-run period in Treasury securities exists in the aca-
demic literature. For example, Fleming (2003) states that the most recently auctioned
security is on-the-run, whereas Furfine and Remolona (2002) state that the most
recently issued Treasury security is the on-the-run security.1The differencebetween
Corresponding author: Area of Finance, Rawls College of Business, TexasTech University, Box 42101,
Lubbock, TX 79409-2101; Phone: (806) 834-3350; Fax: (806) 742-3197; E-mail: drew.winters@ttu.edu.
1We note that the two definitions also appear in textbooks. Stigum (1990) and Fabozzi and Modigliani
(2009) use the most recently auctioned definition, whereas VanHorne (2001) and Blackwell, Griffiths and
Winters (2007) use the most recently issued definition.
C2014 The Eastern Finance Association 77

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