Frankfurt School researchers win Best Paper Award from the Northern Finance Association

Zhuolu Gao, Postdoctoral Researcher in Finance, and Professor Sven Klingler, Associate Professor of Finance, both Frankfurt School, have received the “Best Paper Award in Asset Pricing” from the Northern Finance Association (NFA). Their joint research paper, “The On-the-Run Discount”, was recognised at the NFA Annual Conference 2026.

New Insights into US Treasury Pricing

In their study, Zhuolu Gao and Sven Klingler examine the pricing of short-term US Treasury securities (Treasury bills). Their findings challenge a well-documented phenomenon in financial research: While newly issued Treasury securities typically trade at higher prices than older securities with comparable remaining maturities, the researchers observe the opposite effect in the market for short-term US Treasury securities. Newly issued Treasury bills trade at a discount.

The researchers attribute this so-called “on-the-run discount” in part to short-selling activity and the regular reopening of existing Treasury issues. Their analysis shows that short-selling demand can explain up to 67 percent of the variation in the observed price discount.

The findings provide new insights into pricing and market mechanisms in the short-term US Treasury market. They also identify potential ways in which the US Treasury could reduce its borrowing costs by adjusting the structure of its debt issuance.

Recognition at an International Research Conference

The Northern Finance Association is an academic association dedicated to financial research. Its annual conference brings together researchers from around the world to discuss the latest developments in finance. The “Best Paper Award in Asset Pricing” recognises outstanding academic research in the field of asset pricing.

Read the full paper “The On-the-Run Discount”