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.

TEM observation of iron oxide pillars in montmorillonite

1990 ◽  
Vol 48 (4) ◽  
pp. 882-883
Author(s):  
H. Mori ◽  
Y. Murata ◽  
H. Yoneyama ◽  
H. Fujita
Keyword(s):  
Aqueous Solution ◽  
Iron Oxide ◽  
Fine Particles ◽  
Aqueous Suspension ◽  
Volume Ratio ◽  
Exchange Capacity ◽  
Nano Composites ◽  
Pillared Montmorillonite ◽  
Topographic Features ◽  
Transmission Electron

Recently, a new sort of nano-composites has been prepared by incorporating such fine particles as metal oxide microcrystallites and organic polymers into the interlayer space of montmorillonite. Owing to their extremely large specific surface area, the nano-composites are finding wide application[1∼3]. However, the topographic features of the microstructures have not been elucidated as yet In the present work, the microstructures of iron oxide-pillared montmorillonite have been investigated by high-resolution transmission electron microscopy.Iron oxide-pillared montmorillonite was prepared through the procedure essentially the same as that reported by Yamanaka et al. Firstly, 0.125 M aqueous solution of trinuclear acetato-hydroxo iron(III) nitrate, [Fe3(OCOCH3)7 OH.2H2O]NO3, was prepared and then the solution was mixed with an aqueous suspension of 1 wt% clay by continuously stirring at 308 K. The final volume ratio of the latter aqueous solution to the former was 0.4. The clay used was sodium montmorillonite (Kunimine Industrial Co.), having a cation exchange capacity of 100 mequiv/100g. The montmorillonite in the mixed suspension was then centrifuged, followed by washing with deionized water. The washed samples were spread on glass plates, air dried, and then annealed at 673 K for 72 ks in air. The resultant film products were approximately 20 μm in thickness and brown in color.

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