| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15028 |
| DP15028 Informed Trading in Government Bond Markets | |
| Dong Lou | |
| 发表日期 | 2020-07-10 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics |
| 关键词 | Government bonds Informed trading Return predictability Asset managers |
| URL | https://cepr.org/publications/dp15028 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543978 |
| 推荐引用方式 GB/T 7714 | Dong Lou. DP15028 Informed Trading in Government Bond Markets. 2020. |
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