Predictability of Treasury Bond Returns: Risk Premia or Overreaction?

2019 ◽  
Author(s):  
Riccardo Rebonato
Keyword(s):  
Risk Premia ◽  
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.

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

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 Bond risk premia and the return forecasting factor

2019 ◽  
Vol 24 (1) ◽  
Author(s):  
Agustin Gutierrez ◽  
Constantino Hevia ◽  
Martin Sola
Keyword(s):  
Term Structure ◽  
Yield Curve ◽  
Risk Premia ◽  
Term Structure Model ◽  
Forward Rates ◽  
Bond Risk Premia ◽  
Bond Returns ◽  
Main Driver ◽  
Bond Risk ◽  
Better Than

Abstract The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this single factor actually captures all the relevant fluctuations in bond risk premia, then it should also summarize all the economically relevant variations in excess returns considering different holding periods. We find that it does not. We conclude that including the return forecasting factor as the main driver of risk premia in a term structure model, as has been suggested, is not supported by the data.

Risk Premia in the 8:30 Economy

2018 ◽  
Vol 08 (03) ◽  
pp. 1850010 ◽  
Author(s):  
Jon Faust ◽  
Jonathan H. Wright
Keyword(s):  
Risk Premia ◽  
Time Varying ◽  
Excess Returns ◽  
Macroeconomic News ◽  
Asset Risk ◽  
Macroeconomic Announcements ◽  
News Announcements ◽  
Bond Returns ◽  
The Times ◽  
Over Time

Financial asset risk premia are widely agreed to vary over time. This paper decomposes these risk premia into expected excess returns earned in short windows around the times of macroeconomic news announcements (which mostly come out at 8:30[Formula: see text]am) and the expected excess returns that are earned at other times. Using intradaily data, we find that some, but not all, of the time-varying expected excess returns accrue right around macroeconomic announcements. In forecasting six-month cumulative bond returns, there is more predictability in announcement windows than at other times.

Sign in / Sign up

Export Citation Format

Share Document