{"title":"定义和利用美国国债的价值","authors":"R. Rebonato, J. Maeso, L. Martellini","doi":"10.3905/jfi.2019.1.071","DOIUrl":null,"url":null,"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","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"29 1","pages":"25 - 6"},"PeriodicalIF":0.0000,"publicationDate":"2019-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Defining and Exploiting Value in US Treasury Bonds\",\"authors\":\"R. Rebonato, J. Maeso, L. Martellini\",\"doi\":\"10.3905/jfi.2019.1.071\",\"DOIUrl\":null,\"url\":null,\"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\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"29 1\",\"pages\":\"25 - 6\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-09-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2019.1.071\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2019.1.071","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Defining and Exploiting Value in US Treasury Bonds
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
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.