Journal of Financial & Quantitative Analysis. Vol. 5. Issue 5. Sep2017
固定收益市场的经济风险溢价：来自日内交易的证据
作者：Pierluigi Balduzzi (Carroll School of Management, Boston College;)
Fabio Moneta (Smith School of Business, Queen’s University)
摘要：我们利用高频数据准确估计了债券价格对宏观经济消息的反应以及与宏观风险相关的补偿。我们发现单个因子能概括债券价格对不同消息的反应👩🏻✈️，在金融危机之前🍡，因子的风险溢价是可观的、明显的并且主要出现在消息发布之前🚉。在金融危机之后，股票与债券的协方差变成负值，并且预告因子的风险溢价不再显著👨🏼💼。我们实证结果与在消息发布之前发生了信息泄露以及债券风险溢价的长期风险模型的内涵相一致。
Economic Risk Premia in the Fixed-Income Markets: The Intraday Evidence
Pierluigi Balduzzi (Carroll School of Management, Boston College;)
Fabio Moneta (Smith School of Business, Queen’s University)
ABSTRACT
We use high-frequency data to precisely estimate bond price reactions to macroeconomic announcements and the associated compensation for macro risks. We find evidence of a single factor summarizing the reaction of bond prices to different announcements. Before the financial crisis, the factor risk premium is substantial, significant, and mainly earned before announcement releases. After the crisis, the stock–bond covariance becomes negative and the preannouncement factor risk premium becomes insignificant. Our empirical results are consistent with information leakages that take place ahead of announcement releases and with the implications of a long-run risks model of bond risk premia.
原文链接: http://web.a.ebscohost.com/ehost/detail/detail?vid=5&sid=6c93e629-3876-48aa-beae-5e9e60cdeb4e%40sessionmgr4008&bdata=Jmxhbmc9emgtY24mc2l0ZT1laG9zdC1saXZl#db=bth&AN=125967770
翻译🕛：汪国颂
