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Order Imbalance, Market Returns and Macroeconomic News : Evidence from the Australian Interest Rate Futures Market
Smales, Lee A. - 2013
The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...
Persistent link: https://www.econbiz.de/10013092145
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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...
Persistent link: https://www.econbiz.de/10010467093
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Momentum and the term structure of interest rates
Durham, J. Benson - 2013
A vast literature reports excess returns to momentum strategies across many financial asset classes. However, no study examines trading rules based on price history along individual government-bond term structures - that is, with respect to duration buckets across the curve - as opposed to...
Persistent link: https://www.econbiz.de/10010222891
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
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Collateral Haircuts and Bond Yields in the European Government Bond Markets
Nguyen, Minh - 2020
Analyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of...
Persistent link: https://www.econbiz.de/10012851746
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Term premium in emerging market sovereign yields : role of common and country specific factors
Özbek, İbrahim; Talaslı, İrem - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 169-182
This paper provides cross-country analysis of local bond market term premia in emerging countries. In order to investigate the role of domestic and global factors in the determination of compensation demanded by investors for their medium and long term fixed income investments, term premia is...
Persistent link: https://www.econbiz.de/10012429613
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Zero Yield and Asset Swap Spreads
Caspers, Peter - 2014
We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We … investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree …
Persistent link: https://www.econbiz.de/10013050952
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A GARCH Approach to Modeling Chilean Long-Term Swap Yields
Akram, Tanweer; Mamun, Khawaja A. - 2022
This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It … examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap … autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the …
Persistent link: https://www.econbiz.de/10013406228
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Predicting changes in T-bond futures spreads using implied yields from T-bill futures
Akemann, Charles A. - In: The journal of futures markets 6 (1986) 2, pp. 223-230
Persistent link: https://www.econbiz.de/10003475237
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Essays in empirical asset pricing
Apedjinou, Kodjo Mawuelona - 2005
Persistent link: https://www.econbiz.de/10003553254