Defining and Exploiting Value in US Treasury Bonds

R. Rebonato, J. Maeso, L. Martellini
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引用次数: 1

Abstract

In this article, the authors propose a definition of value in Treasury bonds that, the authors believe, is more satisfactory than definitions found in the recent literature, and that allows for statistically significant and economically relevant predictions of cross-sectional excess returns. The authors’ value pricing factor exploits the differences between the market and the theoretical values of Treasury bonds, where the theoretical value is assessed using an economically-justifiable Gaussian dynamic term structure model. The authors show that the profitability of the strategy they build using their value signal is statistically and economically significant and is closely linked to the Treasury market volatility. The authors provide an explanation for this strong link using arguments similar to what can be found in the recent literature on liquidity in Treasuries; and the authors show that their value signal is not subsumed by the best-known return-predicting factors. With an eye to practical applications, the authors also present a long-only version of their strategy. TOPICS: Analysis of individual factors/risk premia, factor-based models, style investing
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定义和利用美国国债的价值
在本文中,作者提出了一个国债价值的定义,作者认为,这个定义比最近文献中发现的定义更令人满意,并且允许对横截面超额回报进行统计上显著和经济上相关的预测。作者的价值定价因子利用了国债的市场价值和理论价值之间的差异,其中理论价值是使用经济上合理的高斯动态期限结构模型来评估的。作者表明,他们利用价值信号构建的策略的盈利能力在统计上和经济上都是显著的,并且与国债市场波动密切相关。作者使用类似于最近有关美国国债流动性的文献中的论点,对这种紧密联系进行了解释;作者表明,他们的价值信号不包含在最著名的回报预测因素中。着眼于实际应用,作者还提出了一种只做多的策略。主题:个体因素/风险溢价分析,基于因素的模型,风格投资
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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