Author: Mr.Ralph Chami
Publisher: International Monetary Fund
ISBN: 1513531867
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Author: Sharon Ang
Publisher:
ISBN: 9781863426978
Category :
Languages : en
Pages :
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Book Description
Author: Valentina Galvani
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
Author: Robin Grieves
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 46
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Book Description
We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.
Author: Tamara Mast Henderson
Publisher: John Wiley & Sons
ISBN: 0470869577
Category : Business & Economics
Languages : en
Pages : 222
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Book Description
Market players put their jobs on the line with every position they take. Any fixed income investor in the circumstance of being granted one wish would probably want to know what interest rates are going to do in the future. Economists and others have constructed models of interest rate behaviour, but no model works in all circumstances. The main aim of this book is to straddle the different worlds of theoretical models and practical market experience, while offering an interdisciplinary framework for fixed income investing and trading. A focussed but very practical approach to fixed-income investment, aimed at practitioner market Contains investment checklists and interviews with market practitioners Offers an interdisciplinary framework for fixed-income investing and trading, and combines worlds of theoretical models and practical market experience
Author: Edward Alexander Dyl
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 38
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Author: Robin Grieves
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.
Author: David S. Bieri
Publisher:
ISBN:
Category :
Languages : en
Pages : 77
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Book Description
Riding the yield curve, the fixed-income strategy of purchasing a longer-dated security and selling before maturity, has long been a popular means to achieve excess returns compared to buying-and-holding, despite its implicit violations of market efficiency and the pure expectations hypothesis of the term structure. This paper looks at the historic excess returns of different strategies across three countries and proposes several statistical and macro-based trading rules which seem to enhance returns even more. While riding based on the Taylor Rule works well even for longer investment horizons, our empirical results indicate that, using expectations implied by Fed funds futures, excess returns can only be increased over short horizons. Furthermore, we demonstrate that duration-neutral strategies are superior to standard riding on a risk-adjusted basis. Overall, our evidence stands in contrast to the pure expectations hypothesis and points to the existence of risk premia which may be exploited consistently.
Author: Yan Jin
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 0
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Book Description
Riding the yield curve, a trading strategy of buying long-term bills and sell them before maturity, has been a popular means to achieve excess returns. Our empirical results indicate that the riding strategy does not stochastically dominate the buy-and-hold strategy. Moreover, the excess returns are very sensitive to the particular period and subsample. Our evidence, overall, does not show a superior performance by implementing the riding strategy over the past 15 years in Canadian market.
Author: Sharon Ang
Publisher:
ISBN: 9781863426978
Category : Portfolio management
Languages : en
Pages : 31
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Book Description
