The study looked at the prices of easily tradable US Treasury bonds compared to less tradable ones. They found that the more tradable bonds are usually priced higher, but this difference depends on how easy it will be to trade them in the future, not just how easy it is now. They used different measures like bid-ask spread and trading activity to see which ones affect prices the most. They found that quoted bid-ask spread and depth are more important than effective spread and trade size. Also, the number of trades and volume are more related to the price difference than the number of quotes.