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Bond supply and excess bond returns

We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the model, we find that the maturity-weighted-debt-to-GDP ratio is positively related to bond yields and future returns, controlling for the short rate. Moreover, these effects are stronger for longer-maturity bonds and following periods when arbitrageurs have lost money. .Printed Journal, baca ditempat

Ketersediaan

Call NumberLocationAvailable
TRFS2703PSB lt.dasar - Pascasarjana1
Penerbit The Society of Financial Studies.,
Edisi -
Subjek Debt
Asset pricing
Investment decisions
Debt management
Trading volume
Portfolio Choice
Bond interest rates
Determination of interest rates
Term structure of interest rates
ISBN/ISSN 8939454
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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