Special Repo Rates: An Empirical Analysis

J. OF FINANCE

Posted: 2 Apr 1997

See all articles by Bradford D. Jordan

Bradford D. Jordan

University of Florida; University of Florida - Department of Finance, Insurance and Real Estate

Susan D. Jordan

University of Kentucky - Finance

Abstract

Duffie (1996) examines the theoretical impact of repo "specials" on the prices of Treasury securities and concludes that, all else the same, an issue on special will carry a higher price than an otherwise identical issue. We examine this hypothesis and find strong evidence in support of it. We also examine whether the liquidity premium associated with "on-the-run" issues is due to repo specialness and find evidence of a distinct effect. Finally, we investigate whether auction tightness and percentage awarded to dealers are related to subsequent specialness and find that both variables are generally significant.

JEL Classification: G10

Suggested Citation

Jordan, Bradford D. and Jordan, Susan D., Special Repo Rates: An Empirical Analysis. J. OF FINANCE, Available at SSRN: https://ssrn.com/abstract=8246

Bradford D. Jordan

University of Florida ( email )

Gainesville, FL 32611
United States

University of Florida - Department of Finance, Insurance and Real Estate ( email )

P.O. Box 117168
Gainesville, FL 32611
United States

Susan D. Jordan (Contact Author)

University of Kentucky - Finance ( email )

Gatton College of Business & Economics
University of Kentucky
Lexington, KY 40506-0034
United States
859-257-1626 (Phone)

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