Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/9943
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dc.contributor.authorGonzález, MO-
dc.contributor.authorSkinner, FS-
dc.contributor.authorAgyei-Ampomah, S-
dc.date.accessioned2015-01-27T10:01:45Z-
dc.date.available2012-
dc.date.available2015-01-27T10:01:45Z-
dc.date.issued2012-
dc.identifier.citationReview of Quantitative Finance and Accounting, 41 (1): 53 - 74, (19 May 2012)en_US
dc.identifier.issn0924-865X-
dc.identifier.issn1573-7179-
dc.identifier.issnhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2132038-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/9943-
dc.description.abstractWe examine term structure theories by using a novel approach. We form bond investment strategies based on different theories of the term structure in order to determine which strategy performs best. When using a manipulation-proof performance measure, we find that consistent with prior literature, an active strategy that is based on time varying term premiums can indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and hold strategy. This is true, however, for an earlier time period when the literature first made this claim. In a later time period, we find that the passive buy and hold strategy is significantly superior to all active strategies. This result is confirmed by statistical tests and it suggests that once it became known that an active strategy based on time varying term premiums could outperform a passive buy and hold strategy, the markets adjusted and arbitraged away this opportunity. Overall, it appears that the unbiased expectation hypothesis is the most likely explanation of the behaviour of the term structure during more recent times. This is because economically and statistically significant superior performance cannot be achieved if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response to changes in the term premium.en_US
dc.description.sponsorshipThis work was supported by Junta de Comunidades de Castilla-La Mancha [grant number PEII11-0031-6939]; Ministerio de Ciencia e Innovación [grant number ECO2011-28134] and partially supported by Fondo Europeo de Desarrollo Regional (FEDER) funds.”en_US
dc.format.extent53 - 74-
dc.format.extent53 - 74-
dc.format.extent53 - 74-
dc.format.extent53 - 74-
dc.language.isoenen_US
dc.publisherSpringer Verlagen_US
dc.subjectTerm structure theoryen_US
dc.subjectBond strategiesen_US
dc.subjectMPPMen_US
dc.subjectPerformance measurementen_US
dc.subjectSimulationen_US
dc.titleTerm structure information and bond strategiesen_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.1007/s11156-012-0300-5-
dc.relation.isPartOfReview of Quantitative Finance and Accounting-
dc.relation.isPartOfReview of Quantitative Finance and Accounting-
dc.relation.isPartOfReview of Quantitative Finance and Accounting-
dc.relation.isPartOfReview of Quantitative Finance and Accounting-
pubs.issue1-
pubs.issue1-
pubs.issue1-
pubs.issue1-
pubs.publication-statusPublished-
pubs.publication-statusPublished-
pubs.publication-statusPublished-
pubs.publication-statusPublished-
pubs.volume41-
pubs.volume41-
pubs.volume41-
pubs.volume41-
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance-
pubs.organisational-data/Brunel/University Research Centres and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH)-
Appears in Collections:Dept of Economics and Finance Research Papers

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