These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

The study compared risk and returns characteristics of stock exchange traded shares and treasury bills in Ghana to find out which of the two instruments gives better rewards to investors. We made use of annualized returns of these instruments and applied statistical measures of average annual...

I propose a consumption-based asset pricing model in which the decision maker prices contingent cash flows realized at different future horizons and exposed to multiple shocks. The decision maker ignores the objective probability generating the data, and she evaluates a set of models that is...

The mission of Treasury debt management is to meet the financing needs of the federal government at the lowest cost over time. To achieve this objective, the U.S. Treasury Department follows a principle of “regular and predictable” issuance of Treasury securities. But how effective is such...

The choice of T-bill as a risk-free asset is flawed because it is unable to protect the investor against purchasing power risk which is the very risk that investing is all about. We use Canadian data from 1956 to 2013 to show that the T-bill returns barely keeps up with inflation. We also show...

We document an annual cycle in the U.S. Treasury market, with variation in mean monthly returns of over 80 basis points from peak to trough. This seasonal Treasury return pattern does not arise due to macroeconomic seasonalities, seasonal variation in risk, cross-hedging between equity and...

The object of the study is the causality analysis of credit and liquidity risk on Treasury bond market in selected European countries, during the crisis of Greece's public finances from 2010 to 2013. The specific aim of the study is to determine: do we have to deal with so-called contagion...

Prendergast (2021) develops a methodology that enables retail investors to structure annuities using commonly available U.S. Treasury Exchange Traded Funds (ETFs). This paper extends that methodology through the use of key rate durations. Back tests and stress tests show that the use of key rate...

This paper examines the within-market and cross-market information content of order flow for stocks, corporate bonds and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange, we find negative cross-asset effects of order flow on...

We analyze the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during the 1983 – 2012 period, for investment horizons between 1 month and 10 years. Bonds other than T-bills turn out poor inflation hedges during the entire sample period, regardless of the...