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Conference Paper: Predicting Interest Rates
Title | Predicting Interest Rates |
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Authors | |
Keywords | riskfree rates return predictability yield changes asset managers |
Issue Date | 2020 |
Citation | American Finance Association (AFA) 2020 Annual Meeting, San Diego, CA, USA, 3-5 January 2020 How to Cite? |
Abstract | We examine whether asset managers contribute to price discovery in the Treasury market by exploiting regulatory bookkeeping data maintained by the Financial Conduct Authority (FCA) in the UK. Our sample covers all secondary-market trades in gilts and contains detailed information on each individual transaction, including the identities of both counterparties. A simple calendar-time portfolio that goes long the quintile of gilts heavily bought by asset managers and short the quintile heavily sold generates a monthly return of 24bps, with an annualized Sharpe Ratio of 1.4. Controlling for the level, slope, and
curvature factors have little impact on our finding. This return predictive pattern does not revert in the subsequent twelve months and is stronger for the subset of asset managers with better performance in the past year. Additional analyses reveal that most of this superior performance is due to asset managers’ ability to forecast changes in short-term interest rates, over and beyond public information. |
Description | Session: Risk Premia Dynamics in Treasury Bond Markets |
Persistent Identifier | http://hdl.handle.net/10722/284716 |
DC Field | Value | Language |
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dc.contributor.author | Huang, S | - |
dc.contributor.author | Czech, R | - |
dc.contributor.author | Lou, D | - |
dc.contributor.author | Wang, T | - |
dc.date.accessioned | 2020-08-07T09:01:42Z | - |
dc.date.available | 2020-08-07T09:01:42Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | American Finance Association (AFA) 2020 Annual Meeting, San Diego, CA, USA, 3-5 January 2020 | - |
dc.identifier.uri | http://hdl.handle.net/10722/284716 | - |
dc.description | Session: Risk Premia Dynamics in Treasury Bond Markets | - |
dc.description.abstract | We examine whether asset managers contribute to price discovery in the Treasury market by exploiting regulatory bookkeeping data maintained by the Financial Conduct Authority (FCA) in the UK. Our sample covers all secondary-market trades in gilts and contains detailed information on each individual transaction, including the identities of both counterparties. A simple calendar-time portfolio that goes long the quintile of gilts heavily bought by asset managers and short the quintile heavily sold generates a monthly return of 24bps, with an annualized Sharpe Ratio of 1.4. Controlling for the level, slope, and curvature factors have little impact on our finding. This return predictive pattern does not revert in the subsequent twelve months and is stronger for the subset of asset managers with better performance in the past year. Additional analyses reveal that most of this superior performance is due to asset managers’ ability to forecast changes in short-term interest rates, over and beyond public information. | - |
dc.language | eng | - |
dc.relation.ispartof | American Finance Association (AFA) 2020 Annual Meeting | - |
dc.subject | riskfree rates | - |
dc.subject | return predictability | - |
dc.subject | yield changes | - |
dc.subject | asset managers | - |
dc.title | Predicting Interest Rates | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Huang, S: huangsy@hku.hk | - |
dc.identifier.authority | Huang, S=rp02052 | - |
dc.identifier.hkuros | 312023 | - |