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Salomon brothers and the May 1991 Treasury auction: Analysis of a market corner

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  • Jordan, Bradford D.
  • Jordan, Susan D.

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  • Jordan, Bradford D. & Jordan, Susan D., 1996. "Salomon brothers and the May 1991 Treasury auction: Analysis of a market corner," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 25-40, January.
    • Handle: RePEc:eee:jbfina:v:20:y:1996:i:1:p:25-40
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    References listed on IDEAS

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    1. Jordan, Bradford D. & Jordan, Susan D., 1991. "Tax options and the pricing of treasury bond triplets : Theory and evidence," Journal of Financial Economics, Elsevier, vol. 30(1), pages 135-164, November.
    2. Litzenberger, Robert H. & Rolfo, Jacques, 1984. "Arbitrage pricing, transaction costs and taxation of capital gains : A study of government bonds with the same maturity date," Journal of Financial Economics, Elsevier, vol. 13(3), pages 337-351, September.
    3. Warga, Arthur, 1992. "Bond Returns, Liquidity, and Missing Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 605-617, December.
    4. Jegadeesh, Narasimhan, 1993. "Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-1419, September.
    5. Back, Kerry & Zender, Jaime F, 1993. "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment," The Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 733-764.
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    Cited by:

    1. Shino Takayama, 2013. "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series 492, School of Economics, University of Queensland, Australia.
    2. Kenneth D. Garbade & Frank M. Keane, 2017. "The Treasury Market Practices Group: creation and early initiatives," Staff Reports 822, Federal Reserve Bank of New York.
    3. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    4. Raphaële Préget, 2004. "Adjudications des valeurs du Trésor," Revue Française d'Économie, Programme National Persée, vol. 18(4), pages 63-110.
    5. Griffiths, Mark D. & Lindley, James T. & Winters, Drew B., 2010. "Market-making costs in Treasury bills: A benchmark for the cost of liquidity," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2146-2157, September.
    6. Takayama, Shino, 2021. "Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    7. Shino Takayama, 2018. "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series 603, School of Economics, University of Queensland, Australia.
    8. Rydqvist, Kristian & Wu, Mark, 2016. "Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions," Journal of Financial Markets, Elsevier, vol. 30(C), pages 78-102.
    9. Weiner, Robert J., 2002. "Sheep in wolves' clothing? Speculators and price volatility in petroleum futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(2), pages 391-400.
    10. Rydqvist, Kristian & Wu, Mark, 2014. "Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions," CEPR Discussion Papers 10112, C.E.P.R. Discussion Papers.
    11. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, vol. 77(1), pages 171-218, July.
    12. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
    13. Lee, Eun Jung & Eom, Kyong Shik & Park, Kyung Suh, 2013. "Microstructure-based manipulation: Strategic behavior and performance of spoofing traders," Journal of Financial Markets, Elsevier, vol. 16(2), pages 227-252.
    14. Comerton-Forde, Carole & Putnins, Talis J., 2011. "Measuring closing price manipulation," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 135-158, April.
    15. Léanne Berger-Soucy & Corey Garriott & André Usche, 2018. "Government of Canada Fixed-Income Market Ecology," Discussion Papers 18-10, Bank of Canada.
    16. Carole Comerton-Forde & Tālis J. Putniņš, 2014. "Stock Price Manipulation: Prevalence and Determinants," Review of Finance, European Finance Association, vol. 18(1), pages 23-66.

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