We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the discount curve. They are investable portfolios...

The issuing policy of the U.S. Treasury allows us to unambiguously isolate maturity-dependent liquidity premia in the Treasury market. We determine and analyze three term structures of liquidity premia obtained from observed yields of coupon STRIPS, observed yields of principal STRIPS, and...

Prior research by Chu, Pittman, and Yu (2005) documents the information risk found in the US Treasury Inflation-Protected Securities (TIPS) market for the period of 1999-2001. I find that information risk is rapidly waning in the TIPS market when analyzing the 1999-2007 period. The time series...

The purpose of this paper is to empirically analyze the risk and return characteristics of relative value strategies in bonds. Three different yield curve models and three different strategies have been tested. We show that combining the information content from different yield curve models...

We describe the complex nature of liquidity in the markets for Treasury bonds and futures contracts. Using a risk-adjusted measure of trading volume, we find that, while overall volume is greater across all cash securities than across all futures contracts, certain futures contracts are more...