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- Publisher Website: 10.1016/j.jfineco.2021.05.049
- Scopus: eid_2-s2.0-85108567272
- WOS: WOS:000715022300013
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Article: Informed Trading in Government Bond Markets
Title | Informed Trading in Government Bond Markets |
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Authors | |
Keywords | Government bonds Informed trading Return predictability Asset managers |
Issue Date | 2021 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec |
Citation | Journal of Financial Economics, 2021, v. 142 n. 3, p. 1253-1274 How to Cite? |
Abstract | Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information on 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’ ability to predict 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. |
Persistent Identifier | http://hdl.handle.net/10722/300210 |
ISSN | 2021 Impact Factor: 8.238 2020 SCImago Journal Rankings: 11.673 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Czech, R | - |
dc.contributor.author | Huang, S | - |
dc.contributor.author | Lou, D | - |
dc.contributor.author | Wang, T | - |
dc.date.accessioned | 2021-06-04T08:39:42Z | - |
dc.date.available | 2021-06-04T08:39:42Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Journal of Financial Economics, 2021, v. 142 n. 3, p. 1253-1274 | - |
dc.identifier.issn | 0304-405X | - |
dc.identifier.uri | http://hdl.handle.net/10722/300210 | - |
dc.description.abstract | Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information on 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’ ability to predict 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.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec | - |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.subject | Government bonds | - |
dc.subject | Informed trading | - |
dc.subject | Return predictability | - |
dc.subject | Asset managers | - |
dc.title | Informed Trading in Government Bond Markets | - |
dc.type | Article | - |
dc.identifier.email | Huang, S: huangsy@hku.hk | - |
dc.identifier.authority | Huang, S=rp02052 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jfineco.2021.05.049 | - |
dc.identifier.scopus | eid_2-s2.0-85108567272 | - |
dc.identifier.hkuros | 322728 | - |
dc.identifier.volume | 142 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 1253 | - |
dc.identifier.epage | 1274 | - |
dc.identifier.isi | WOS:000715022300013 | - |
dc.publisher.place | Netherlands | - |