Government Security Dealers' Positions, Information and Interest-Rate Expectations

In this paper, the inventory positions of government security dealers are analyzed for signs of superior information on their part relative to other participants in the market. Testing the 1966-1980 period on a monthly basis, it does not appear that information on the maturity composition of dealers’ positions can be used, either con-currently or when it becomes publicly available, to earn excess returns. The evidence is consistent with both semi-strong and strong-form market efficiency.