THE MARKET FOR U.S. Treasury notes and bonds is widely considered as one of the most active and liquid markets in the world. The recent revelation that Salomon Brothers accumulated a large position in the two-year notes issued in the May 1991 auction and allegedly manipulated the price of this issue has led many investors to question the price efficiency in this market. For instance, one of the lead articles in the Wall Street Journal dated August 19, 1991 (p. Al) reports that "Collusion and price fixing in the $2.3 trillion Treasury securities market have been routine for more than a decade, according to traders and top Wall Street executives."