Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 9th June 2026, 01:56:14am CEST
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3B: Information and trading
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What Treasury Auctions Reveal About Investor Demand 1Northeastern University, United States of America; 2Harvard Business School, USA; 3Harvard University, USA We measure the elasticity of demand for Treasuries at auction directly from bidding data. From 1992 to 2010, demand for Treasuries was surprisingly elastic: a 1% increase in the supply of Treasuries relative to the amount outstanding corresponded to a 2 basis point increase in long-term yields. Since 2010, demand has become almost five times more inelastic, implying that yields now rise by 9 basis points per 1% increase in supply. This deterioration of demand is also apparent in the secondary market. Prior to 2010, long-term yields declined on average by 1.5 basis points after auctions and these declines have been concentrated in auctions with strong investor demand. After 2010, this trend has reversed and yields no longer fall after auctions. This weaker demand for Treasuries coincides with less foreign investor demand and reduced secondary market liquidity. China Walls 1Central European University; 2Hong Kong Polytechnic University; 3Wharton School, University of Pennsylvania We evaluate the enforcement of information barriers—China Walls—within conglomerates. Our setting is the 23 million trades in 2019-2024 in the Israeli Shekel market, where the US SEC imposes China Walls around dealers. Our difference-in-differences design compares the trade volumes and profits of funds that are affiliated with, clients of, or entirely unrelated to a dealer around the days when the dealer is especially likely to hold valuable information. Dealers never trade or share information with their affiliate funds, despite that they do share information with their clients, and funds within the same conglomerate do so among themselves. Our findings persist in crisis and noncrisis periods and across granular cells of fund and asset characteristics. From a back-of-the- envelope calculation, imposing China Walls around funds would eliminate $23.7 billion in trades. We reveal a remarkable regulatory capacity to control information flows within conglomerates. | ||