期刊文献+

积极债券投资策略实证研究 被引量:4

The Experimental Analysis of Active Investment Strategy of Bonds
下载PDF
导出
摘要 Investing in bonds is always a very important part of securities investment.In the foreign advanced financial markets,excellent bond investment strategies bring high returns to different kinds of bond investment funds.As China’s bond market is developing very fast,the type of bonds increased gradually and various bond investors are growing up day by day.Under this background,how to apply foreign mature bond investment strategies to China’s bond market has been a very hot topic discussed by different kinds of investment institutions.From the government’s aspect,utilizing the mature bond investment strategies will also help to normalize the bond investment behaviors and enhance the connection between domestic and overseas bond markets.This paper focuses on the active bond investment strategies based on interest rate term structure analysis.These active bond investment strategies include riding the yield curve and forecasting the bond excess returns.Using trading data of treasury bills and treasury bonds traded in Exchange,this paper validates all of these investment strategies and proves that they can be successfully applied to China’s bond market and make obvious profits.Different bond investors can use these investment strategies mentioned above according to their investment targets and restrictions. Investing in bonds is always a very important part of securities investment. In the foreign advanced financial markets, excellent bond investment strategies bring high returns to different kinds of bond investment funds. As China's bond market is developing very fast, the type of bonds increased gradually and various bond investors are growing up day by day. Under this background, how to apply foreign mature bond investment strategies to China's bond market has been a very hot topic discussed by different kinds of investment institutions. From the government's aspect, utilizing the mature bond investment strategies will also help to normalize the bond investment behaviors and enhance the connection between domestic and overseas bond markets. This paper focuses on the active bond investment strategies based on interest rate term structure analysis. These active bond investment strategies include riding the yield curve and forecasting the bond excess returns. Using trading data of treasury bills and treasury bonds traded in Exchange, this paper validates all of these investment strategies'and proves that they can be successfully applied to China's bond market and make obvious profits. Different bond investors can use these investment strategies mentioned above according to their investment targets and restrictions.
出处 《统计研究》 CSSCI 北大核心 2006年第3期56-60,共5页 Statistical Research
基金 国家自然科学基金资助项目(70273016)
  • 相关文献

参考文献8

  • 1Ang, S., L. Alles, and D. Allen, Riding the Yield Curve: An Analysis of International Evidence, Journal of Fixed Income,1998,8(3),57-74.
  • 2Dyl, E. A., and M. D, Joehnk, Riding the Yield Curve: Does it Work? Journal of Portfolio Management, 1981,7(3),13-17.
  • 3Fabozzi, F. J., Bond Portfolio Management, 2^nd Edition,2001.
  • 4Grieves, R., S.V. Mann, A. J. Marcus, and P. Ramanlal,Riding the Bill Curve, Journal of Portfolio Management,1999,25(3),74-82.
  • 5Grieves, R., and A. J. Marcus, Riding the Yield Curve:Reprise, Journal of Portfolio Management, 1992, 18 (4),67-76.
  • 6Ilmanen, A., Forecasting US Bond Return, Journal of Fixed Income, 1997,7(1),22-37.
  • 7Ilmanen, A., and Iwanowski, R., Dynamics of the Shape of The Yield Curve, Journal of Fixed Income, 1997,7 (2),47-60.
  • 8Papageorgious, N., and F. S. Skinner, Predicting the Direction of Interest Rate Movement, Journal of Fixed Income, 2002,11(4), 87-95.

同被引文献53

引证文献4

二级引证文献52

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部