Macro Factors and Volatility of Treasury Bond Returns

2011 ◽  
Author(s):  
Jing-Zhi Huang ◽  
Lei Lu ◽  
Bo Wu
Keyword(s):  
Bond Returns ◽  
Treasury Bond

The Equity Volatility-Volume Ratio and Treasury Bond Returns

2019 ◽  
Author(s):  
Stefanie Schraeder ◽  
Elvira Sojli ◽  
Avanidhar Subrahmanyam ◽  
Wing Wah Tham
Keyword(s):  
Volume Ratio ◽  
Bond Returns ◽  
Treasury Bond

Liquidity Risk Premia in Corporate Bond Markets

2012 ◽  
Vol 02 (02) ◽  
pp. 1250006 ◽  
Author(s):  
Frank de Jong ◽  
Joost Driessen
Keyword(s):  
Risk Premium ◽  
Corporate Bonds ◽  
Liquidity Risk ◽  
Risk Premia ◽  
Market Liquidity ◽  
Corporate Bond ◽  
Expected Returns ◽  
Bond Returns ◽  
Treasury Bond ◽  
Investment Grade

This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that corporate bond returns have significant exposures to fluctuations in treasury bond liquidity and equity market liquidity. Further, this liquidity risk is a priced factor for the expected returns on corporate bonds, and the associated liquidity risk premia help to explain the credit spread puzzle. In terms of expected returns, the total estimated liquidity risk premium is around 0.6% per annum for US long-maturity investment grade bonds. For speculative grade bonds, which have higher exposures to the liquidity factors, the liquidity risk premium is around 1.5% per annum. We find very similar evidence for the liquidity risk exposure of corporate bonds for a sample of European corporate bond prices.

Computer-Based Trading, Institutional Investors and Treasury Bond Returns

2018 ◽  
Author(s):  
Xiaoquan Liu ◽  
Ingrid Lo ◽  
Minh Nguyen ◽  
Giorgio Valente
Keyword(s):  
Institutional Investors ◽  
Bond Returns ◽  
Treasury Bond ◽  
Computer Based

Seasonality in Canadian treasury bond returns: An institutional explanation

1998 ◽  
Vol 7 (1) ◽  
pp. 65-86 ◽  
Author(s):  
George Athanassakos ◽  
Yisong Sam Tian
Keyword(s):  
Bond Returns ◽  
Treasury Bond

scholarly journals Treasury Bond Return Data Starting in 1962

Data ◽  
2019 ◽  
Vol 4 (3) ◽  
pp. 91
Author(s):  
Laurens Swinkels
Keyword(s):  
The United States ◽  
United States Government ◽  
Treasury Bonds ◽  
Government Bonds ◽  
Standard Textbook ◽  
Bond Returns ◽  
Treasury Bond ◽  
Bond Return ◽  
Investor Returns ◽  
Starting Date

Academics and research analysts in financial economics frequently use returns on government bonds for their empirical analyses. In the United States, government bonds are also called Treasury bonds. The Federal Reserve publishes the yield-to-maturity of Treasury bonds. However, the Treasury bond returns earned by investors are not publicly available. The purpose of this study is to provide these currently not publicly available return series and provide formulas such that these series can easily be updated by researchers. We use standard textbook formulas to convert the yield-to-maturity data to investor returns. The starting date of our series is January 1962, when end-of-month data on the yield-to-maturity become publicly available. We compare our newly created total return series with alternative series that can be purchased. Our return series are very close, suggesting that they are a high-quality public alternative to commercially available data.

On the impact of macroeconomic news surprises on Treasury-bond returns

2015 ◽  
Vol 12 (1) ◽  
pp. 29-53 ◽  
Author(s):  
Imane El Ouadghiri ◽  
Valérie Mignon ◽  
Nicolas Boitout
Keyword(s):  
Macroeconomic News ◽  
Bond Returns ◽  
Treasury Bond ◽  
The Impact

scholarly journals Stock Market Uncertainty and the Stock-Bond Return Relation

2005 ◽  
Vol 40 (1) ◽  
pp. 161-194 ◽  
Author(s):  
Robert Connolly ◽  
Chris Stivers ◽  
Licheng Sun
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Implied Volatility ◽  
Market Uncertainty ◽  
Market Pricing ◽  
Negative Relation ◽  
Bond Returns ◽  
Treasury Bond ◽  
Bond Return ◽  
Equity Index

AbstractWe examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market uncertainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative relation between the uncertainty measures and the future correlation of stock and bond returns. Contemporaneously, we find that bond returns tend to be high (low) relative to stock returns during days when implied volatility increases (decreases) substantially and during days when stock turnover is unexpectedly high (low). Our findings suggest that stock market uncertainty has important cross-market pricing in-fluences and that stock-bond diversification benefits increase with stock market uncertainty.

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