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Conference Paper: Informed Trading in the Government Bond Market
Title | Informed Trading in the Government Bond Market |
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Authors | |
Keywords | government bonds informed trading return predictability asset managers |
Issue Date | 2020 |
Citation | Finance Down Unde Conferencer: Building on the Best from the Cellars of Finance, Melbourne, Australia, 5-7 March 2020 How to Cite? |
Abstract | Using comprehensive administrative data from the UK, we examine trading by different investor groups in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information of each transaction, including the identities of both counterparties. We find that hedge funds’ daily trading positively forecasts gilt returns in the following one to five days, which is then fully reversed in the following month. A part of this short-term return predictability is due to hedge funds’ front-running other investors’ future demand. Mutual fund trading also positively predicts gilt returns, but over a longer horizon of one to two months. This return pattern does not revert in the following year and is partly due to mutual funds’ ability to forecast changes in short-term interest rates. |
Description | Organizer: Department of Finance, Faculty of Business and Economics, University of Melbourne |
Persistent Identifier | http://hdl.handle.net/10722/285001 |
DC Field | Value | Language |
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dc.contributor.author | Huang, S | - |
dc.contributor.author | Wang, T | - |
dc.contributor.author | Lou, D | - |
dc.contributor.author | Czech, R | - |
dc.date.accessioned | 2020-08-07T09:05:27Z | - |
dc.date.available | 2020-08-07T09:05:27Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Finance Down Unde Conferencer: Building on the Best from the Cellars of Finance, Melbourne, Australia, 5-7 March 2020 | - |
dc.identifier.uri | http://hdl.handle.net/10722/285001 | - |
dc.description | Organizer: Department of Finance, Faculty of Business and Economics, University of Melbourne | - |
dc.description.abstract | Using comprehensive administrative data from the UK, we examine trading by different investor groups in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information of each transaction, including the identities of both counterparties. We find that hedge funds’ daily trading positively forecasts gilt returns in the following one to five days, which is then fully reversed in the following month. A part of this short-term return predictability is due to hedge funds’ front-running other investors’ future demand. Mutual fund trading also positively predicts gilt returns, but over a longer horizon of one to two months. This return pattern does not revert in the following year and is partly due to mutual funds’ ability to forecast changes in short-term interest rates. | - |
dc.language | eng | - |
dc.relation.ispartof | Finance Down Under Conference | - |
dc.subject | government bonds | - |
dc.subject | informed trading | - |
dc.subject | return predictability | - |
dc.subject | asset managers | - |
dc.title | Informed Trading in the Government Bond Market | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Huang, S: huangsy@hku.hk | - |
dc.identifier.authority | Huang, S=rp02052 | - |
dc.identifier.hkuros | 312022 | - |