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標題: 市政債的報酬率可以被預測嗎?
Are Municipal Bond Returns Predictable?
作者: Wenfeng Zhou
關鍵字: 美國市政債報酬率;預測性;總體經濟預測變量;金融市場預測變量;municipal bond returns;predictable;macroeconomic predictors;financial market predictors
引用: Ang, A., Piazzesi, 2003. A No-arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables. Journal of Monetary Economics 50:745-787. Ang, A., Longstaff, F. A., 2013. Systemic Sovereign Credit Risk: Lessons From the U.S. and Europe. Journal of Monetary Economics 60:493-510. Beber, J., Brand, M. W., Kavajecz, K. A., 2009. Flight-to-quality or Flight-to-liquidity? Evidence from Euro-area Bond Market. Review of Financial Studies 22:925-957. Duffee, G. R., 2011. Information in (and not in) the Term Structure. Review of Financial Studies 24: 2895-2934. Easley, D., O'Hara, M., Saar, G., 2001. How Stock Splits Affect Trading: A Microstructure Approach, Journal of Financial and Quantitative Analysis 36, 25-51. Fama, E., French, K., 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33:3-56. Fama, E., Bliss, R., 1987. The Information in Long-Maturity Forward Rates, The American Economic Review, Vol. 77, NO. 4, 680-692. Joslin, S., Priebsch, M., Singleton, K., 2014. Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks. Journal of Finance 69: 1197-1233. Korniotis, G. M., Kumar, A., 2013. State-Level Business Cycles and Local Return Predictability. Journal of Finance 68:1037-1096. Lettau, M., Ludvigson, S., 2001a. Consumption, Aggregate Wealth, and Expected Stock Returns, Journal of Finance 21,815-849. Lettau, M., Ludvigson, S., 2001b. Resurrecting the (C)CAPM: A Cross-sectional Test When Risk Premia Are Time-varying, Journal of Political Economy 109, 1238-1286. Ludvigson, S. C., Ng, S., 2009. Macro Factors in Bond Risk Premia. The Review of Financial Studies v 22 n 12: 5028-5067. Lusting, H., Nieuwerburgh, S., V., 2005. Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective, Journal of Finance 60,1167-1219. Pu, X., Wang, J., Wu., C., 2011. Are Liquidity and Counterparty Risk Priced in the Credit Default Market? Journal of Fixed Income 20,59-79. Wu, C., Yeh, C., Yoo, W., 2014. What Drives Systemic Credit Risk? Evidence from the U.S. State CDS Market. Working Paper, State University of New York at Buffalo.
美國市政債的市場規模很大並且吸引了很多投資者,瞭解市政債市場有助於投資者進行投資決策。本研究從實證分析上探討了美國市政債的報酬率是否可以被預測。通過Panel Predictive Regression分析,本文發現,美國市政債的報酬率可以被總體經濟變數和金融市場變數所預測。之後,本文還發現相對於金融市場變數,總體經濟變數對市政債報酬率的預測有更重要的貢獻。最後,本文發現,具有大的PIN值和低流動性的債券,即風險更大的債券,總體經濟變數的貢獻值會更加的大。

The Municipal bond market is very large and understanding it will be necessary for the investors in making decisions. This study provides an empirical analysis on whether municipal bond returns are predictable. Using Panel Predictive Regression analysis, we found that the macroeconomic predictors, and the financial market predictors can predict the return of municipal bonds. Furthermore, we found that macroeconomic variables make up the majority of contribution to the predictability. Finally, we found that the contribution of macroeconomic variables is higher on the bonds with higher value of PIN and low liquidity, which are more risky.
其他識別: U0005-0807201516242700
Rights: 同意授權瀏覽/列印電子全文服務,2015-07-13起公開。
Appears in Collections:財務金融學系所

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