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Two essays on government bond markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Two essays on government bond markets./
作者:	Wang, Junbo.
面頁冊數:	1 online resource (116 pages)
附註:	Source: Dissertations Abstracts International, Volume: 68-05, Section: A.
Contained By:	Dissertations Abstracts International68-05A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3194011click for full text (PQDT)
ISBN:	9780542374418

Two essays on government bond markets.
Wang, Junbo.

Two essays on government bond markets. - 1 online resource (116 pages)

Source: Dissertations Abstracts International, Volume: 68-05, Section: A.

Thesis (Ph.D.)--Syracuse University, 2005.

Includes bibliographical references

In the first part of this study, the effects of liquidity and information risks on expected returns of U.S. government bonds are examined. Information risk is measured by probability of information-based trading (PIN) derived from the market microstructure model of Easley, Hvidkjaer, and O'Hara (2002). Liquidity risk is captured by sensitivity of individual bond returns to a market-wide liquidity measure along with the line of Pastor and Stambaugh (2003). After controlling systematic risks and bond characteristics, it is found that both liquidity and information risks have a significantly positive effect on expected bond returns. The findings suggest that incorporating microstructure factors into existing term structure models is a promising avenue for improving the understanding of bond price behavior. In the second part of this study, I examine the effects of liquidity, default and taxes on the relative yields of Treasuries and municipals. A term structure model of municipal bonds with liquidity risk is employed to estimate the effects of the three important factors on municipal bond yields. After accounting for default and liquidity risks, the implied marginal tax rates are much closer to statutory tax rates of high-income individuals and corporations. In addition, the implied tax rates for long-maturity municipals are very close to those of short-maturity municipal bonds. Results show that the generalized model with liquidity and default risks has explained the municipal anomalies with a reasonable success. Municipal bond yields are strongly affected by default and liquidity risks.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9780542374418Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Bond marketsIndex Terms--Genre/Form:

542853
Electronic books.

Two essays on government bond markets.
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500 $a Source: Dissertations Abstracts International, Volume: 68-05, Section: A.
500 $a Publisher info.: Dissertation/Thesis.
500 $a Advisor: Wu, Chunchi.
502 $a Thesis (Ph.D.)--Syracuse University, 2005.
504 $a Includes bibliographical references
520 $a In the first part of this study, the effects of liquidity and information risks on expected returns of U.S. government bonds are examined. Information risk is measured by probability of information-based trading (PIN) derived from the market microstructure model of Easley, Hvidkjaer, and O'Hara (2002). Liquidity risk is captured by sensitivity of individual bond returns to a market-wide liquidity measure along with the line of Pastor and Stambaugh (2003). After controlling systematic risks and bond characteristics, it is found that both liquidity and information risks have a significantly positive effect on expected bond returns. The findings suggest that incorporating microstructure factors into existing term structure models is a promising avenue for improving the understanding of bond price behavior. In the second part of this study, I examine the effects of liquidity, default and taxes on the relative yields of Treasuries and municipals. A term structure model of municipal bonds with liquidity risk is employed to estimate the effects of the three important factors on municipal bond yields. After accounting for default and liquidity risks, the implied marginal tax rates are much closer to statutory tax rates of high-income individuals and corporations. In addition, the implied tax rates for long-maturity municipals are very close to those of short-maturity municipal bonds. Results show that the generalized model with liquidity and default risks has explained the municipal anomalies with a reasonable success. Municipal bond yields are strongly affected by default and liquidity risks.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
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653 $a Municipal bonds
653 $a Treasury bonds
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