The bond/old-bond spread

• 成果类型: Article
• 署名作者: Krishnamurthy, A
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00207-6
• 发表日期: 2002
• 页码: 463-506
• 关键词: HEDGE FUNDS; SHORT SALES; CP-Bills spread; aggregate liquidity; liquidity crises

摘要

I document the profits on a trade that is long the old 30-year Treasury bond and short the new 30-year Treasury bond, and is rolled over every auction cycle from June 1995 to November 1999. Despite the systematic convergence of the spread over the auction cycle, the average profits are close to zero. The difference in repo-market financing rates between the two bonds is a significant cost of carry in this trade. I show that variation in the bond/old-bond spread is driven by the Treasury supply of 30-year bonds as well as aggregate factors affecting investors' preference for liquid assets. (C) 2002 Elsevier Science B.V. All rights reserved.