The Microstructure of the Bond Market in the 20th Century PDF Download
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Author: Bruno Biais
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Bruno Biais
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Twentieth Century Fund. Task Force on the Municipal Bond Market
Publisher: McGraw-Hill Companies
ISBN:
Category : Business & Economics
Languages : en
Pages : 200
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Book Description
Author: Gwangheon Hong
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 252
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Author: Edward F. McQuarrie
Publisher:
ISBN:
Category :
Languages : en
Pages : 135
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Book Description
From 1857 scholars have relied on Macaulay (1938) to track changes in interest rates during the period before the Ibbotson data begin. Holding period returns, where of interest (e.g., Siegel 1992a, 1992b), have been calculated from summary yield inputs such as those tabulated by Homer (1963), rather than observed prices of individual bonds. Here in Part II of the paper I explain how Homer got Macaulay wrong, misleading downstream compilers such as Siegel, and causing him to under-estimate 19th century bond returns. Values in Homer taken from Macaulay are not yields, but mathematical constructions erected on a (distant) foundation of observations. I correct Siegel's under-estimate by retrieving bond prices from Macaulay's sources and calculating holding period returns directly. I also correct a more general failure to treat Federal bonds properly during the greenback era. In the aggregate I find real bond returns in the second half of the 19th century to be about 150 basis points higher than Siegel. With this correction, in conjunction with corrected stock returns before 1871, I find that bond returns matched stock returns over the entire 19th century. The “stocks for the long run” thesis now appears to be a mistaken extrapolation from a few decades in the middle of the 20th century. No support for it can be found in the 19th century.
Author: Edward F. McQuarrie
Publisher:
ISBN:
Category :
Languages : en
Pages : 71
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Book Description
US securities markets took root after Alexander Hamilton's refunding of the Federal debt in the early 1790s. Accordingly, a market in bonds has been in operation in the US for over two centuries. Until recently, however, little was known about bond market returns prior to 1857. This paper focuses on investor holding period returns, using newly compiled data on bond prices, rather than focusing on the movement of yields, as in Homer (1963) and Macaulay (1938). It incorporates the relatively familiar Treasury securities from the years before President Andrew Jackson paid off the debt in 1835, but also includes state and city debt, which ballooned beginning in the 1820s, as well as corporate debt, from its beginnings about 1830 to its explosion after 1850. I find that all three classes of bonds provided investors with similar total returns prior to 1857, excepting a brief period in the 1840s when state securities plunged before recovering. I also find that over the entire 19th century, real bond returns considerably exceeded the long-term average return of 3.6% proposed for bonds in Siegel (2014). In explaining these high bond returns I identify problems with Siegel's data sources, notably Homer's mistaken interpretation of Macaulay's data. I further find that in these early years, bonds sometimes out-performed stocks over periods of several decades, again contrary to Siegel's thesis. The paper considers the implications of a demonstration that stocks and bonds performed differently in the nineteenth century as compared to the twentieth century.
Author: Mr.Peter Dattels
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 106
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Book Description
This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It argues for an active role of the authorities in fostering the development of efficient market structures.
Author: Brian Mattmann
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Charles C. Abbott
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 224
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Book Description
Author: Joel Hasbrouck
Publisher: Oxford University Press
ISBN: 0198041306
Category : Business & Economics
Languages : en
Pages : 209
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Book Description
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Author: Anatoly B. Schmidt
Publisher: John Wiley & Sons
ISBN: 1118093658
Category : Business & Economics
Languages : en
Pages : 195
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Book Description
An informative guide to market microstructure and trading strategies Over the last decade, the financial landscape has undergone a significant transformation, shaped by the forces of technology, globalization, and market innovations to name a few. In order to operate effectively in today's markets, you need more than just the motivation to succeed, you need a firm understanding of how modern financial markets work and what professional trading is really about. Dr. Anatoly Schmidt, who has worked in the financial industry since 1997, and teaches in the Financial Engineering program of Stevens Institute of Technology, puts these topics in perspective with his new book. Divided into three comprehensive parts, this reliable resource offers a balance between the theoretical aspects of market microstructure and trading strategies that may be more relevant for practitioners. Along the way, it skillfully provides an informative overview of modern financial markets as well as an engaging assessment of the methods used in deriving and back-testing trading strategies. Details the modern financial markets for equities, foreign exchange, and fixed income Addresses the basics of market dynamics, including statistical distributions and volatility of returns Offers a summary of approaches used in technical analysis and statistical arbitrage as well as a more detailed description of trading performance criteria and back-testing strategies Includes two appendices that support the main material in the book If you're unprepared to enter today's markets you will underperform. But with Financial Markets and Trading as your guide, you'll quickly discover what it takes to make it in this competitive field.
