What are the potential benefits from investing in bonds issued by a province when holding an efficient portfolio of bonds issued by the remaining nine ones? How beneficial is the exposure to additional provincial bond markets from the perspective of investors whose core interests reside in...

Our empirical analysis unveils a striking uniformity between the returns of Canadian federal and provincial bonds. Furthermore, the return spreads between these debt instruments are shown to be white noise. Relying on tests for mean-variance spanning, we also show that market participants are...