分解长期债券收益:分散理论

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2022-08-10 DOI:10.1093/rof/rfac053

P. Carr, Liuren Wu

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引用次数: 0

摘要

经典的债券定价联系，即通过指定短期利率的动态来集中所有到期日的债券估值。本文发展了一个分散的理论，该理论完全基于债券自身收益率的近期行为来为每只债券定价。该理论利用投资者在特定债券上的专业知识，允许投资者对债券进行定价和投资分析，而不受雄心勃勃的集中授权的束缚。该理论将债券的短期回报根据其自身收益率的变化进行分解。对收益分解不施加动态套利导致一个简单的定价方程，该方程将债券收益率与市场定价以及收益率近期变化的条件均值和方差预测联系起来。本文阐述了该理论在单债券分散投资和分散蝴蝶债券组合的构建与投资中的应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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DECOMPOSING LONG BOND RETURNS: A DECENTRALIZED THEORY

Classic bond pricing links, i.e., centralizes, bond valuation across all maturities by specifying the dynamics of the short-term interest rate. This paper develops a decentralized theory that prices each bond based purely on the near-term behavior of the bond’s own yield. The theory levers the domain expertise of an investor on a particular bond and allows the investor to make pricing and investment analysis on the bond without the shackles of an ambitious centralizing mandate. The theory decomposes the short-term return on a bond with respect to the variation of its own yield. Imposing no dynamic arbitrage on the return decomposition leads to a simple pricing equation relating the bond yield to the market pricing and conditional mean and variance forecasts of the yield’s near-term change. The paper illustrates the theory’s applications in decentralized investment of a single bond and in the construction and investment of decentralized butterfly bond portfolios.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.