Bond supply and excess bond returns
By: Robin Greenwood, Dimitri Vayanos.
Contributors: Vayanos, Dimitri.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 13806; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13806.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We examine empirically how the maturity structure of government debt affects bond yields and excess returns.  Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs.  Consistent with the model, we find that (i) the supply of long- relative to short-term bonds is positively related to the term spread, (ii) supply predicts positively long-term bonds' excess returns even after controlling for the term spread and the Cochrane-Piazzesi factor, (iii) the effects of supply are stronger for longer maturities, and (iv) following periods when arbitrageurs have lost money, both supply and the term spread are stronger predictors of excess returns"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/13/2008.

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