Treasury Returns Affected by Liquidity and Information Risks, New Study Finds

(PhysOrg.com) -- Building on a seminal study recognizing the effect of liquidity on U.S. Treasury securities, a new study by a University of Arkansas researcher documents a strong, positive relationship between expected return on Treasury securities and risks associated with the liquidity of the U.S. Treasury market. The study also revealed a strong relationship between return and what is known as information risk - experts` varying interpretations of important announcements about the U.S. economy.

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