Journal Article Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill Markets Get access Avraham Kamara Avraham Kamara University of Washington Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 1, Issue 4, October 1988, Pages 357–375, https://doi.org/10.1093/rfs/1.4.357 Published: 14 March 2015

[Earlier studies report significant price disparities between futures and forward or spot markets. Examining the Treasury-bill markets, this article demonstrates that differences in market trading structures explain these disparities. Treasury-bill futures rates contain significantly lower liquidity and default premia than do synthetic forward rates. This reflects the functioning of a futures' clearing association and differences between an open-outcry auction futures market and an over-the-counter dealer spot market. The same factors that make futures contracts nonredundant securities also explain the existence, in equilibrium, of price disparities.]