Dissertations / Theses on the topic 'Treasury Bond'

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
This work-project complements the existing studies on the linkage between financial investments returns and the political cycles, by relating Treasury bond returns and Presidential cycles. Previous research shows that stock market tends to behave better during Democratic presidencies, and in this work it is shown a compatible result, with long-term Treasury bonds having higher absolute, and excess returns during Republican Administrations. This difference is not explained by business cycles and there are no significant differences in risk, as measured by the volatility of returns, between the two political cycles. Empirical evidence is also found showing that there are better economic and financial conditions to invest in T-bonds' markets during Republican than during Democratic Administrations.

Background: With the tremendous growth of the Green Bond (GB) market, understanding the relationship of the GB market with other financial markets gains importance. The Covid19 pandemic causing a recession in most major economies creates an opportunity to see the co-movements of the GB market with other financial markets under a period of economic crisis. Purpose: This study aims to use the economic contraction catalyzed by the 2020’s Covid-19 pandemic as a means to investigate the co-movements between the GB and the treasury bond, corporate bond, stock, and carbon markets during an economic recession. Through this, we intend to find if co-movements of the GB market have changed, and if so, how. Method: As the collected data is time-series data, Augmented Dickey-Fuller and Ljung-Box tests are utilized for preliminary testing. Thereafter, a univariate-GARCH model is used for volatility modeling. Moreover, the DCC-GARCH model has been conducted to determine the co-movements between the markets. Conclusion: The results of the study show that in the case of GB, treasury, and corporate bond markets, no considerable changes were observed in the co-movement among the two different sample periods. Moving to the stock and GB markets, it was found that the co-movement increased at the beginning of the crisis. However, for the whole crisis period, no substantial changes can be seen in comparison to the pre-crisis period. Furthermore, the co-movement between the two markets was found to be weak in general. Moving on to the results obtained for GB and carbon markets, at the start of the crisis, a sharp fall can be observed. When compared to the pre-crisis period, the co-movement showed a slight increase, yet very weak. Furthermore, it was observed that the co-movement between the two markets has been weak during the whole sample period.

Dans le premier chapitre, j'examine si les vendeurs à découvert sont mieux informés à propos des enchères d'obligation souveraines que le marché. Je trouve, en moyenne, une forte augmentation de la demande de vente à découvert avant les enchères. Néanmoins, la demande de vente à découvert ne prédit pas une augmentation future du rendement. Les vendeurs à découvert ne sont donc pas mieux informés sur le résultat des enchères et n'interprètent pas mieux que le marché.Dans le second chapitre, je développe et teste un modèle expliquant la baisse graduelle des prix observée dans les jours qui conduisent à des ventes anticipées d'actifs telles que les enchères du Trésor. Dans le modèle, les investisseurs averses au risque anticipent une vente d'actifs dont l'ampleur − et donc le prix − sont incertains. Je montre que les investisseurs font face à un compromis entre se hedger au moyen d'une position longue et spéculer sur la différence entre le prix avant la vente et le prix espéré de vente. En raison du hedging, le prix d'équilibre est supérieur au prix de vente espéré. À l'approche de la date de vente, l'incertitude quant au prix de vente diminue, les positions spéculatives à découvert augmentent et le prix diminue. Conformément aux prédictions, je trouve que le rendement des bons du Trésor italien augmente de 1,2 points de base après la publication d'informations sur le prix d'enchère, par rapport aux jours sans information.Dans le troisième chapitre, j'étudie le lien entre les prix et les taux repo au cours de la crise des subprimes. Je trouve que la relation de non-arbitrage entre les prix et les taux repo de Duffie (1996) performe moins bien pendant la crise. Cependant, les obligations à faible taux repo ont 18.0% plus de chance d'être plus coûteuses que les obligations identiques à taux repo élevé lors de la crise, contre seulement 9.0% avant la crise. Dans l'ensemble, bien qu'il existe de fortes limites à l'arbitrage, les prix et les taux repo présentent des co-mouvements plus importants pendant la crise
In the first chapter, I ask if short-sellers are superiorly informed about sovereign auctions. I find a large average increase in demand for short-selling prior to auctions. Yet, the demand for short-selling a bond does not predict a subsequent increase in the bond's yield. Overall, there is no evidence that short-sellers predict or interpret auction outcomes better than the market.In the second chapter, I develop and test a model explaining the gradual price decrease observed in the days leading to large anticipated asset sales such as Treasury auctions. In the model, risk-averse investors anticipate an asset sale which magnitude, and hence price, are uncertain. I show that investors face a trade-off between hedging the price risk with a long position, and speculating on the difference between the pre-sale and the expected sale prices. Due to hedging, the equilibrium price is above the expected sale price. As the sale date approaches, uncertainty about the sale price decreases, short speculative positions increase and the price decreases. In line with the predictions, I find that the yield of Italian Treasuries increases by 1.2 bps after the release of auction price information, compared to non-information days.In the third chapter, I study the link between prices and repo rates during the subprime crisis. I find that the no-arbitrage relationship between prices and repo rates in Duffie (1996) fares worse during the crisis. However, low-repo-rate bonds have an 18.0% higher probability of being more expensive than identical high-repo-rate bonds during the crisis, compared to only 9.0% before the crisis. Overall, while there are high limits of arbitrage, prices and repo rates feature larger co-movements during the crisis

The Swedish National Debt Office (SNDO) is the Swedish Government’s financial administration. It has several tasks and the main one is to manage the central government’s debt in a way that minimizes the cost with due regard to risk. The debt management problem is to choose currency composition and maturity profile - a problem made difficult because of the many stochastic factors involved.

The SNDO has created a simulation model to quantitatively analyze different aspects of this problem by evaluating a set of static strategies in a great number of simulated futures. This approach has a number of drawbacks, which might be handled by using a financial optimization approach based on Stochastic Programming.

The objective of this master’s thesis is thus to apply financial optimization on the Swedish government’s strategic debt management problem, using the SNDO’s simulation model to generate scenarios, and to evaluate this approach against a set of static strategies in fictitious future macroeconomic developments.

In this report we describe how the SNDO’s simulation model is used along with a clustering algorithm to form future scenarios, which are then used by an optimization model to find an optimal decision regarding the debt management problem.

Results of the evaluations show that our optimization approach is expected to have a lower average annual real cost, but with somewhat higher risk, than a set of static comparison strategies in a simulated future. These evaluation results are based on a risk preference set by ourselves, since the government has not expressed its risk preference quantitatively. We also conclude that financial optimization is applicable on the government debt management problem, although some work remains before the method can be incorporated into the strategic work of the SNDO.

This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generally lower yields on US securities, forcing investors to shift their portfolios towards foreign fixed income securities. This yields sizable positive effects on US output, equity prices and a general decrease in financial market volatility.
Series: Department of Economics Working Paper Series

This thesis deals with statistical arbitrage as a strategy applied in algorithmic trading of US Treasury bonds in the selected timeframe from 1980 until 2017. Our aim is to prove that a specific event on the treasury market, namely reopening of the bonds, constitutes an arbitrage opportunity that enables the investor to systematically yield extraordinary profits on the market. This thesis includes a theoretical introduction to algorithmic trading and statistical arbitrage. Based on this introduction we formulate hypotheses, which are then tested in the application part by constructing an algorithm that simulates a trading strategy on historical data. Comparing three strategies we determined that this strategy is meaningful, or performs better than a random walk and that it is profitable.

The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the literature, is not able to select the best combination of factors characterizing the joint dynamics of yield curves. We propose a new methodology based on the maximisation of the likelihood function of a Gaussian state-space model with common and local factors. The associated identification problem is solved in an innovative way. By estimating several sets of countries, we select two global (and three local) factors which are also useful to forecast macroeconomic variables in each considered economy.In addition, our method allows us to detect hidden factors in the international bond returns. They are not visible through a classical principal component analysis of expected bond returns but they are helpful to forecast inflation and industrial production. Keywords: International treasury yield curves, common and local factors, state-space models, EM algorithm, International bond risk premia, principal components.

This thesis deals with debt management carried out in the Czech Republic. Financial instruments (treasury bills, treasury bonds) which are used to manage state debt are described. Analysis for the Czech Republic encompasses period between years 1993 and 2008. It also contains comparison of debt management with selected OECD countries.

This diploma thesis surveys debt instruments used in OECD and European Union member countries for financing central government deficits and the techniques of selling government bonds. The volume and structure of the central government deficit and debt in the Czech Republic as well as organization of debt management office are subjected to a detailed analysis. Debt management accomplishments are confronted with the set out strategy and its objectives. The thesis also consists of the characteristics of securities in use (treasury bills, medium-term and long-term government bonds) as well as of legal regulations of auctions by which the securities are placed on the domestic market. An independent subchapter is dedicated to foreign issues of bonds.

Master of Agribusiness
Department of Agricultural Economics
Allen M. Featherstone
Land is typically the highest value category of assets that farmers and ranchers have on their balance sheets. The value of land is affected by inflation. Understanding the effect of inflation on the land market helps farmers make better land pricing decisions and better asset management decisions. Using Treasury Bills and Farm Credit Bonds, future inflation expectations and agricultural risk premiums can be estimated. With the recent government stimulation of the economy and the resulting large amount of money infused into the economy, inflation is becoming an increasing concern with investors. Economic theory suggests that this infusion of money will affect future interest rates and ultimately the value of land given the inverse relationship between interest rates and the value of land. These lingering affects occur with the rise and fall of yield rates for Treasury Bills and Farm Credit bonds. Farm Credit bonds are sold at a premium over Treasury Bills. This premium indicates the market-assessed additional risk that farmers have to pay for their operating loans and other mortgages. Even though land values are affected by inflation, other things affect land values such as recreational use, development, and natural resource exploration. A combination of inflation and these other affects can greatly affect land prices.

The aim of this thesis is to show how the unconventional monetary policy rounds of Quantitative Easing introduced in the United States between 2008 and 2014 have led to an increase in wealth inequality. The need for the thesis arises due to the uncharted nature of QE and because of more and more information is surfacing to light which points to this connection. By analysing the distribution of these funds and adding it to the then base distribution of money supply, this study was able to determine a significant 10 % increase in the Gini Index. Furthermore it highlights how a large portion of wealth was transferred from the middle class over to the top 5 % income households. Starting from a set of assumptions the calculation is performed by extrapolating the data required and by isolating the system from any external variables. The result is a theoretical model meant to describe the mechanism that links Quantitative Easing to wealth inequality. Moreover a detailed comparison is provided with the effect of a conventional monetary policy such as Open-Market Operations. Finally solutions to this issue are being discussed from economical, political and fiscal standpoints.

Doutoramento em Economia
A general theoretical framework is proposed to analyse Flight-to-Quality events, defined as a mass investment migration from risky to safe assets. The model consists of only two asset classes, risky and safe. The framework is applied to Flights-to-Quality from emerging market public debt to U.S. treasuries, in the period 1998-2010. An alarm signal system is designed to warn of upcoming Flights-to-Quality and their terminations, and is applied: (i) to delimiting hypothetical Flights-to-Quality on an ex-ante basis, which are compared with historically observed episodes, to test the quality of the alarm signals; (ii) to elaborate dynamic interest rate risk hedge strategies, characterized by higher returns and lower volatility in comparison with statically hedged investments. The proposed framework potentially allows for improving the timeliness of financial policies, which can be triggered by the alarm signals. It can also be a useful tool for defining adequate policies to be implemented acting either on an insufficient supply of the safe assets or on a decreasing demand for the risky investments, thus contributing to a more stable economic environment.
Propõe-se uma abordagem teórica para análise de eventos Flight-to-Quality, definidos como a migração em massa de investimentos em, activos com risco para investimentos em activos sem risco. O modelo considera apenas dois tipos de activos, com e sem risco. A abordagem é aplicada a eventos Flight-to-Quality da dívida pública de mercados emergentes para dívida pública norte-americana, no período 1998-2010. É desenhado um sistema de sinais de alerta para emitir sinais de aviso relativos ao início e ao término dos eventos Flight-to-Quality, o qual é utilizado para: (i) a identificação ex-ante (hipotética) dos eventos, os quais são comparados com os eventos históricos observados, para testar a qualidade dos sinais gerados; (ii) para elaborar estratégias dinâmicas de cobertura de risco da taxa de juro, que asseguram rendimentos mais elevados e menor volatilidade que estratégias de cobertura de risco estáticas. A abordagem proposta permite melhorar o tempo de resposta das políticas financeiras, as quais podem ser despoletadas pelos sinais de alarme. E pode também ser um instrumento útil para a definição de políticas, seja para correcção de uma oferta insuficiente de activos sem risco ou de uma procura insuficiente pelos activos com risco, contribuindo assim para um ambiente económico mais estável.

碩士
國立中正大學
財務金融研究所
99
Efficient markets hypothesis was proposed by Fama in 1970.The phenomenon of overreaction or underreaction is caused by investor’s irrational behavior when facing information. The representation of prior research in this area are the overreaction hypothesis that was proposed by De Bondt and Thaler in 1985 and the underreaction hypothesis advanced by Jegadeesh and Titman in 1993. The purpose of this paper is to ascertain whether there is information leakage ahead of central bank’s announcement of rediscount rate adjustments and whether Treasury bond price reaction conforms with overreaction hypothesis or underreaction hypothesis after rediscount rate adjustment announcements. There are observed anomalies evidenced by prior research in testing the efficient market hypothesis. One of them is the weekend effect which is another purpose in this paper. Our empirical results indicate that information leakage ahead of announcement does not exist from 2005 to 2010, especially after 2007, and there is about fifty percent probability that the Treasury bond price reaction doesn’t conform with the underreaction hypothesis or overreaction hypothesis, thirty-three percent probability with the underreaction hypothesis, twenty-one percent with the overreaction hypothesis after the announcement. We also find that the bond price reaction in the Taiwan treasury bond market is mostly represented by 10 years treasury note. As for the weekend effect, empirical results indicate that the anomaly exists one week prior to the announcement of rediscount rate adjustments, during the announcement week, and the week after.

Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2009
Em Janeiro de 1997, o Tesouro norte-americano introduziu o seu programa de Treasury Inflation-Protected Securities (TIPS). Tal como o seu nome indica, estas obrigações estão indexadas `a inflação na medida em que os seus cupões são constantemente ajustados através de um índice de preços. Deste modo, ao proporcionarem uma exposição consideravelmente mais reduzida a variações inesperadas do nível de preços, estas obrigações permitem reduzir os riscos associados a taxas de inflação variáveis, oferecendo um elevado grau de certeza sobre o valor real do investimento efectuado. Juntamente com os mercados para TIPS, também os mercados para derivados indexados à inflação têm vindo a crescer rapidamente e a tornar-se progressivamente mais populares, oferecendo novas oportunidades aos investidores para se precaverem contra riscos e para alcançarem objectivos financeiros que de outra forma, recorrendo unicamente aos activos indexados à inflação existentes, não estariam disponíveis. O principal intuito deste trabalho consiste então em propor uma fórmula de avaliação, explicita e livre de arbitragem, para contratos futuros sobre um cabaz de obrigações TIPS entregáveis com uma quality option associada. Para tal, é necessária a especificação de um modelo, sendo que, neste trabalho, nos baseamos no modelo Jarrow-Yildirim (doravante, modelo JY) descrito em Jarrow e Yildirim (2003). De acordo com Jarrow e Yildirim (2003, p.338), bem como Deacon, Derry e Mirfendereski (2004, pp.87-88), na literatura é usualmente aplicado o modelo Cox, Ingersoll e Ross (CIR) de um factor para descrever a estrutura temporal de taxas de juro reais, ao passo que Jarrow e Yildirim (2003) são os primeiros autores a sugerir o emprego de um modelo Heath, Jarrow e Morton (1992) (a partir de agora referido como HJM) na avaliação de TIPS e seus derivados. De facto, baseando-se na implementação de um modelo HJM para a avaliação de direitos contingentes sobre activos denominados em moeda estrangeira (estudado, por exemplo, em Amin e Jarrow, 1991), Jarrow e Yildirim (2003) usam uma analogia com o caso anterior (conhecida como foreign currency analogy) para formular um modelo HJM Gaussiano de três factores e livre de arbitragem para a evolução das curvas de taxas de juro nominais e reais, bem como do índice de inflação. Portanto, nesta abordagem, são consideradas como que duas economias distintas: a nominal (interpretada como a economia doméstica ou nacional) e a real (i.e., estrangeira), sendo o índice de inflação entendido como a taxa de câmbio entre as duas moedas. Apesar de alguns derivados indexados à inflação estarem já a ser transaccionados presentemente, nomeadamente swaps indexados à inflação, contratos futuros sobre o CPI e opções sobre TIPS,(1) ainda que estes últimos não sejam ainda muito comuns no mercado, pelo que sabemos não existem ainda futuros sobre TIPS a serem transaccionados no mercado, afirmação esta que é aliás suportada por Huang e Yildirim (2008, p.101). Todavia, e tendo em conta as maturidades limitadas actualmente disponíveis para os futuros sobre o CPI, juntamente com os elevados custos associados, Huang e Yildirim (2008, p.101) argumentam a favor da necessidade da criação de um mercado de futuros sobre TIPS, de modo a possibilitar uma protecção mais ampla e eficiente face ao risco de taxa de juro real ao qual as obrigações TIPS estão expostas. Assim sendo, a determinação de uma solução analítica para a avaliação de contratos futuros sobre TIPS constitui um tema relevante e a principal finalidade do presente trabalho. Além disso, e à semelhança do que se verifica para os futuros sobre obrigações do tesouro convencionais, consideramos a existência de uma delivery option à disposição do vendedor do futuro sobre TIPS, a qual constitui uma das opções mais importantes associada a um contrato futuro. Assim, neste caso, estudamos um contrato futuro, não sobre uma obrigação TIPS específica, mas sobre um cabaz de TIPS. A cada uma destas TIPS entregáveis está associado um factor de conversão e, na data de entrega, devido à existência da quality option já referida, o vendedor do futuro pode escolher qual das obrigações TIPS, de entre as do cabaz, pretende entregar ao comprador do futuro. Evidentemente, qualquer vendedor racional de futuros irá escolher a obrigação entregável que maximiza a diferença entre os cash-in e os cash-out flows, a qual é designada obrigação de menor custo (ou cheapest-to-deliver). Artigos anteriores foram dedicados à avaliação da quality option existente em contratos futuros sobre obrigações do tesouro convencionais, entre os quais destacamos: Carr e Chen (1997) no modelo CIR, Henrard (2006b) e Nunes e Oliveira (2007) num modelo HJM Gaussiano. Neste trabalho, o objectivo consiste em avaliar contratos futuros sobre TIPS quando a posição curta tem à disposição uma quality option, usando para tal o modelo proposto por Jarrow e Yildirim (2003). Uma breve síntese deste trabalho é a que se apresenta em seguida. Em primeiro lugar, nos Preliminares são incluídos uma variedade de conceitos gerais, bem como resultados relacionados com as distribuições Gaussianas univariada e multivariada, Teoria da Medida e Cálculo Estocástico, e ainda Cálculo Estocástico aplicado às Finanças, necessários para uma compreensão plena dos restantes capítulos. O capítulo seguinte, o qual se encontra dividido em duas secções e se baseia no artigo de Jarrow e Yildirim (2003), é dedicado à avaliação de TIPS no modelo JY. Iniciamos o capítulo com a apresentação de definições e conceitos básicos, e em seguida especificamos um modelo JY de três factores para descrever a evolução da estrutura temporal das taxas nominal e real e do índice de inflação. Tal como é referido no texto, trabalhamos apenas com três movimentos Brownianos, no entanto, caso se assuma que outros eventuais factores aleatórios explicam as movimentações do índice de inflação e das curvas de taxas de juro (nominal e real), então o modelo e os resultados obtidos podem ser generalizados a um número finito arbitrário de movimentos Brownianos. Começamos por proceder à descrição do modelo na medida física de probabilidade, sendo que, posteriormente, apresentamos a sua especificação na medida de martingala equivalente, cuja existência e unicidade demonstramos. Concluímos o capítulo com a formalização matemática e a avaliação de obrigações TIPS. No Capítulo 3, seguimos o trabalho de Huang e Yildirim (2008), onde o modelo JY é aplicado na determinação do preço de contratos futuros sobre TIPS. A fórmula que propomos neste trabalho é muito semelhante à obtida pelos autores. A principal contribuição deste trabalho, relativamente ao artigo referido, reside no facto do nosso resultado levar em consideração a opção contra a deflação existente nas obrigações TIPS, a qual é ignorada por Huang e Yildirim (2008) sob o argumento de que a deflação consiste num fenómeno improvável. Posteriormente, consideramos a existência de uma quality option associada ao contrato futuro, sendo o capítulo que se segue dedicado à determinação do preço de futuros com uma quality option. Nesse sentido, começamos por derivar a fórmula para o preço justo de um contrato futuro sobre um cabaz de obrigações TIPS entregáveis mas que não possui qualquer quality option e, em seguida, no contexto da designada conditioning approach (proposta, por exemplo, em Rogers e Shi, 1995, Nielsen e Sandmann, 2003 ou ainda Nunes e Oliveira, 2007, sendo que este último artigo constitui a principal referência na literatura seguida neste capítulo), sugerimos uma aproximação analítica para o preço de um contrato futuro com uma quality option. Notamos também que, ainda que um erro de aproximação seja introduzido, esta abordagem tem a vantagem de fornecer uma solução explícita com forma analiticamente fechada. Finalmente, no último capítulo, o qual conclui este trabalho, apresentamos um breve sumário dos principais resultados e contribuições deste trabalho. Incluímos ainda algumas sugestões para futuros estudos no sentido de melhorar os resultados obtidos, nomeadamente no que respeita à apresentação de uma estimação do erro de aproximação cometido, bem como da minimização do mesmo, para além da implementação numérica das fórmulas obtidas, por exemplo através da realização de uma simulação Monte Carlo, a qual não só nos permitiria testar a precisão dos resultados, como também a facilidade e eficiência da sua implementação. (1)-A derivação de fórmulas de avaliação destes derivados no modelo JY é proposta em Mercurio (2005), Crosby (2007) e Henrard (2006a), respectivamente.
The aim of this work is to propose an arbitrage-free and explicit pricing solution for futures contracts written on a delivery basket containing TIPS coupon bearing bonds when the short position has a quality option. Despite the fact that, to our knowledge, such contracts are not being traded in the market yet, this constitutes a relevant subject. We use the Jarrow-Yildirim model, described in Jarrow and Yildirim (2003), to fit the evolution of the inflation index and of the nominal and real term structure curves. We then organise our work into two parts. First, we follow the paper of Huang and Yildirim (2008) to determine the fair price of futures on TIPS, taking into consideration the option present on TIPS bonds that offers its owner protection against deflation. Lastly, based on the work of Nunes and Oliveira (2007) for the pricing of futures contracts on conventional Treasury bonds with a quality option, we consider the existence of a quality option embedded in the futures contract, which is now written on a basket of deliverable TIPS bonds. Through a conditioning approach (proposed in Rogers and Shi, 1995, Nielsen and Sandmann, 2003), we obtain an analytical formula that gives an approximation for the price of the futures contract.

碩士
銘傳大學
金融研究所
88
This article is to estimate the term premiums between the long-term bonds and short-term bonds in our treasury market, and to find out the factors that affect the term premiums. The result shows that there exist obvious term premiums in our treasury market and are affected by liquidity, inventory''s change, monetary policy''s change, and so on.

碩士
國立中央大學
財務金融研究所
97
Some financial analysts emphasize the connections between macroeconomy and bond yields when they are making the strategic decisions about bond investments. This paper explores the relations between the term to maturities and the yields, and incorporates macro variables to predict Treasury bond yields of different maturities. This paper follows the work of Vereda et al. (2007) and explores the relations between US-Treasury bond yields and economic leading indicators. VAR models and Granger Causality Test are used to analyze the mutual influences among Treasury bond yields and macroeconomic variables. Our results support many authors’ opinions that Fed Fund rates and CPI index can predict movements of bond yields well. We additionally find evidences that the information of stock market index and PMI index can improve the forecasting performance for Treasury bond yields. Consumer side data is only useful in predicting 3-month yields in VAR models. Treasury bond yields of various maturities also reveal useful information when someone predicts the movements of yields.

This dissertation describes a quasi-analytical solution to price bond futures with delivery options in the context of stochastic interest rates, assuming that the dynamic of interest rates is described under the Heath-Jarrow-Morton specification.The initial structure of interest rates is specified by a consistent family with the proposed model. It also provides an analytical solution for an estimator for the embedded quality and timing option for treasury bond futures. Under these assumptions, a set of CBOT treasury bond futures are priced and an estimate of quality and timing options are obtained. The results obtained are compared with results offered by Nunes and Oliveira (2003) and it is concluded that the quality and timing option for those contracts are not significant under the described specification. The initial structure of interest rates and the volatility specification are found to have important pricing implications and a large impact on delivery option estimates.
Esta dissertação tem como objectivo descrever uma solução quasi-analítica para avalição de futuros sobre obrigações com diversas opções de entrega, no contexto de taxas de juro estocásticas. Assume-se que a dinâmica da curva de taxa de juro é descrita segundo a metodologia proposta por Heath-Jarrow-Morton e a curva inicial de taxa de juro é definida através de uma especificação consistente com o modelo proposto. Esta tese fornece também um estimador para o valor conjunto da quality option e timing option embutidas nos contratos de futuros sobre obrigações. De acordo com estas premissas, são avaliados um conjunto de futuros transacionados pela CBOT e é obtida uma estimativa para ambas as opções de entrega em análise. Os resultados obtidos, através das soluções analíticas apresentadas, são comparados com os resultados obtidos por Nunes e Oliveira (2003) e conclui-se que opções de entrega não são significativas de acordo com a especificação descrita. Verifica-se ainda que a estimação da dinâmica inicial da taxa de juro e a especificação da função volatilidade têm um impacto significativo nas estimativas do preço dos futuros e no respectivo valor das opções de entrega.

Although most governments sell their bonds through a share auction, little is known about behaviour of bidders in these auctions. This thesis analyzes the literature on government securities auctions, focusing primarily on structural empirical estimation. Additionally, it examines bidders behaviour in Colombian government bond auctions during 2007, including the additional sale done after the auction. The thesis summarizes the different structural methodologies that have been developed to determine what the best auction for a particular case is. It discusses the advantages and disadvantages of each methodology and explores assumptions and robustness when confronted with data. To make these comparisons more straightforward, a unified notation is introduced and several methods are applied to the same auctions, uniform price auctions conducted by the government of Colombia.
Thesis (Ph.D, Economics) -- Queen's University, 2010-01-14 11:03:29.635

碩士
輔仁大學
金融研究所
98
This article is intended to explore the correlation between Taiwan's government bond liquidity and financial institutional investors’ holdings. The research period was ten years from January 2001 to February 2010. The analysis applies time-series models to conduct data analysis by using ADF uni-root test. This article conducted multiple regression analysis with Eviews. To measure liquidity we rely on the data of trading amount and turnover collected from the market. First , we consider the industry of Chunghwa Post Co, banking, securities firms and bill finance companies are the determinants of bond liquidity. In this article, the results show that Securities dealers have positively influences on bond liquidity while Billing dealers are negative significantly associated with the bond liquidity. On the contrary, the correlation between Chunghwa Post Co., Banking dearlers and bond liquidity is absent. Next, we extend the control variables to 10Y yield on-the-run and off-the-run bond spread, Term spread, Default spread, Stock volume, Repo volume, Overnight repo rate and NT dollar exchange rate . Our empirical results indicate that Default spread, Term spread, Overnight repo rate and Stock volume are negative significantly and Repo volume is positive and significantly associated with bond liquidity. Nevertheless, NT dollar exchange rate is an insignificant variable to explain the liquidity of government bonds. On other hand, by F test and t test, this article finds the governmental bonds are mainly obtained by treasury dealers in the primary market. For liquidity, we conclude that the different institutions holding bonds by Securities dealers and Billing dealers have have greater influence than those mainly obtained by Banks dealers, Insurance dealers, and Trust dealers with the bond liquidity.

碩士
輔仁大學
金融研究所
91
While the move on the three major world-wide economic systems, namely Europe, USA and Japan, are faltering, Chinese economic performance is contrary to the global economic performance. Its economic growth rate measured up to 8% in 2002. Following the development in economy, the capital market scale will consequentially develop and get deepgoing relatively. Given this, a turning point for the future investment in Chinese capital market appears to be faintly visible. The movement to treat the treasury bond market as a market where the Government controls the economy and development of the national economy plays an important part in the development of entire economy. Further, in light of the Government’s express guidelines manifested in its tenth “Five-year Economic Plan” for a “well-organized and united, safe, effective, and open treasury bond market”, the treasury bond market of China outperformed its stock market in 2001 and 2002. Accordingly, it appears that the opportunities to invest in Chinese treasury bond market are emerging. Nevertheless, the development of Chinese capital market is referred to as a brand new experience. At the initial stage of the development, some misgivings still remained and thus the market did not link with the international market from the very beginning. Perhaps because the capital market was identified as a sensitive issue from the beginning, the development of Chinese capital market presented a particular phenomena, literally interpreted as “do it without second thoughts, learn and observe concurrently, observe and change concurrently, change constantly, stop doing whenever it wants”. A proverb prevailing in mainland China can be quoted as saying that “Cross the River by Rocks Therein”. For example, the treasury bond futures market, which was open on a trial basis in 1994, was shut down shortly in 1995 because of corruption. This contrasts sharply with the development of advanced countries that are used to establishing an applicable rule of law at first and then performing their policies after fully comprehending the whole procedures. Investors’ failure to have a specific knowledge of the history for the special development in China is likely to lead them to slip up in the market for lack of overall observation, and thus cause them to waste considerable time and cost in fumbling. Therefore, this paper is going to serve to be the pioneer in the expedition to Chinese treasury bond market from the viewpoint of a prophet. The topics of this paper include: 1. Introduction of the bond types and process of development for Chinese treasury bond; 2. To have a knowledge for the primary market and its history; 3. To have a knowledge of the system for the treasury bond and discuss the historical secondary market; 4. To interpret the risk, challenges and prospection of the treasury bond market; 5. To analyze the advantages and hindrance for foreign securities companies to enter the market. This research manifests that: 1. Chinese treasury bond market has gone through the three stages, namely Physical Bond in OTC, transaction on exchange and leading by interbank bond market. The transformation in them was distinctive, tremendous and expeditious; 2. The research on primary market and secondary market shows that the two marketplaces co-exist in the same Chinese treasury bond market. This appears to be sharply different from the development of the international bond markets. The participants in the interbank market are primarily commercial banks, while the participants in the exchange market are primarily securities and insurance companies; 3. Despite that Chinese treasury bond market is devoted to develop a variety of matured bonds, the co-existing of the above-identified two marketplaces results in “the same bond with two different prices”. Accordingly, China is still unable to build its own term structure of interest rate.; 4. The bond issued is innovated and reformed constantly. However, in light of Chinese institutional investors’ uneven qualifications, its power to innovate the treasury bond still requires improvement; 5. Following the express and definite policies and a variety of reform projects put forward for Chinese treasury bond market in 2002, the performance of the market appeared to be glamorous in 2002. Nevertheless, risks also increased relatively due to the collection of capitals; 6. Upon China’s entry into the WTO, foreign securities companies possess more powerful strength to enter Chinese treasury bond market than Taiwan-based securities companies. Nevertheless, in virtue of Taiwan-based securities companies’ flexible strategies and the principle of reciprocity under the WTO, the move on a more open market is still foreseeable.

碩士
元智大學
管理研究所
90
Abstract General speaking, yield spread on fixed-income securities is in terms of three major characters:(i) the default risk that the firm can’t pay or pays off less than promised pa- yment, i.e., credit risk ;(ii) bond price is sensitive to interest rate change, i.e., interest rate risk ; and (iii) the risk that the holder will be unable to sell the instrument, i.e., li- quidity risk. Therefore, we are interesting in the relation between liquidity and credit risk on yield spread of treasury and corporate bond, after controlling interest rate risk. The structure of the paper includes two major segments. In first portion, we use or- dinary least squares (OLS) method to analysis zero-coupon bonds in initial public of- fering market (IPO). In second portion, we employ linear structural relationships (LISREL) model to examine speculative-grade debt in secondary market (SEC). Our empirical results of OLS and LISREL methods are consistent with previous literature liquidity risk and credit risk should be positively correlated with yield spread of trea- sury and corporate bond. Most important of all, we find positive correlation between liquidity risk and credit risk. The effect of liquidity risk on yield spread is larger than the effect of credit risk on yield spread. These meaningful finds could make a contr- ibution to further improvement on risk management of fixed-income securities.

Thesis (M.S.)--Florida State University, 2008.
Advisor: Simon Y. Foo, Florida State University, FAMU-FSU College of Engineering, Dept. of Electrical and Computer Engineering. Title and description from dissertation home page (viewed March 2, 2009). Document formatted into pages; contains ix, 49 pages. Includes bibliographical references.

碩士
國立臺北大學
國際企業研究所
98
This study investigates the dynamic correlations among S&P 500 stock index, US 10-year treasury bond index and futures under the crisis of subprime mortgage and financial tsunami by using VEC DCC GJR-GARCH model and VEC Copula GJR-GARCH-skewed-t model. It also discusses the contagion effect of the crisis of subprime mortgage and financial tsunami on the US finance market. The sample period of this study is from January 1, 2004 to February 26, 2010. The empirical results obtainy from the VEC DCC GJR-GARCH model verify that during the crisis of subprime mortgage and financial tsunami period, the correlation coefficients between stock and bond markets and between stock and bond futures markets have increased, mean the correlation coefficients between bond and futures market have decreased. The model results also indicated that the return and volatility correlation of US stock, bond and futures markets are affected by the crisis of subprime mortgage and financial tsunami(contagion effect), rather than simply by cross-market information transmission through the volatility spillovers between any two markets as metioned above. In addition, the of VEC Copula GJR-GARCH-skewed-t model signify the highly tail-dependency structure between stock-bond, stock-bond futures and bond-bond futures markets. We also found that the market dependency between those any two markets have during the period of subprime mortgage crsis and financial tsunami.

碩士
國立清華大學
國際專業管理碩士班
105
The Global Financial Crisis has become one of the worst scenario in history that caused considerable slowdown in most developed countries such as U.S (United States), U.K (United Kingdom), and Europe that occur in 2006. Most developed countries still got the hardest time to recovered their Financial in their country because of that accident. U.S is being considered as one of the center economic of the world, after Financial Crisis that already happen in the past U.S still can’t go back to their glory past. The objective of this research is to evaluate the impact of Global Financial Crisis to other countries and give information how to avoid The Global Financial Crisis in the future by correlated between S&P 500 index, The 30-year US Treasury Bond Price, CRB index, USDX, and HMI in 2006-2011. Also, in this study, the researcher will give some information about what makes the Global Financial Crisis occur in the first place, in order to prevent the same scenario in the future. The researcher will use Partial Correlation as statistical tools and will implement by using SPSS 21. The research data that will be use is monthly data from January 2006 until December 2011 for each variable. The result from this research will prove each variable have correlation with one another and give effect to each other.

The presentcase study analyses the Portuguese publicdebt management during theEuropeanSovereign debtcrisis, namely the decisions undertook by the Government and by the Portuguese Debt Management Agency.On April 6th,2011, Portugal requestedofficial financial assistance, beginning a three-year period in which market access was severely constrained.This case studyfocus onthe behaviourof relevant parameters,such as the evolution of yieldsand spreads for Government bonds, the shareof public debt held by domestic and non-domestic investors through time, the progressionof Portuguese debt ratings and thecomposition of the stock of public debt.

JEL classification: G11; G12
Nesta dissertação é feita uma análise comparativa entre as obrigações indexadas à inflação (TIPS) e as Treasuries nos EUA através da rendibilidade final obtida de cada obrigação. É também realizado um estudo do efeito da inclusão de TIPS em carteiras com estratégias de alocação de recursos a longo prazo. Para o primeiro caso, considerou-se um investimento de $100,000 para a obrigação indexada à inflação e o mesmo valor para a obrigação nominal, ambas pertencentes ao mercado dos EUA com maturidade igual a 10 anos, verificou-se que a rendibilidade da 10-Year Inflation-Indexed Note é maior que a 10-Year Note devido à subida bastante significativa do CPI-U verificado desde Outubro de 2008 a Janeiro de 2009, isto significa que dado que os cash-flows gerados pelas TIPS acompanham o rácio de índice de inflação, o reembolso na maturidade foi maior que o da obrigação nominal. No segundo caso, calculou-se as rendibilidades anuais das obrigações acima referidas e do índice Standard & Poors 500 com base nos preços diários desde 13 de Maio de 1999 a 13 de Janeiro de 2009, com vista a obter as respectivas correlações. Verificou-se que a 10- Year IIN apresenta uma correlação mais negativa com o índice S&P 500 do que a 10-Year N e uma correlação positiva com o índice de inflação enquanto que, a 10-Year N e o CPI-U apresentam um relação mais baixa com o índice de preços. Deste modo, ao incluir a 10-Year IIN na carteira (constituída por acções do índice S&P 500 e pela 10-Year Note) a rendibilidade aumenta e o desvio-padrão é menor.
In this paper, inflation-linked bonds (TIPS) and Treasuries from the United States, are compared and analyzed by their final return obtained from each bond. The effect of the inclusion of portfolio TIPS with strategy allocations with long term resources, are also analyzed. In the first case, it was considered that a $100,000 investment was made in a inflation-linked bond, and the same value in a nominal bond, both of it from the EUA market and with a 10 years maturity. It was verified that the final return from a 10-Year Inflation Indexed Note, is bigger than a 10-Years Note one, due to a significant raise of the CPI-U, verified since October 2008 still January 2009. Meaning that TIPS cash-flows and the Inflation Index, are directly connected. The reimbursement is bigger in maturity than in a nominal bond. In the second case, it was calculated the annual return from the bonds already mentioned above, and from the S&P 500, based in diary prices since May 13th of 1999 until January 13th of 2009, in order to obtain each correlation. It was verified that a 10- Year IIN as a more negative correlation with a S&P 500 Index, than a 10-Year N, and a positive correlation with an inflation index, while the 10- Year N and the CPI- U, have a lower relation with the price index. This way, including a 10- Year IIN into the portfolio (consisted by stocks of the S&P 500 Index and by a 10- Year N), return increases while the standard deviation goes down.

碩士
國立高雄第一科技大學
風險管理與保險所
92
The principle for Taiwan Futures Exchange to set the futures margin level is based on if the greatest possible risk area on that day can be covered. Though the overestimated level of futures margin can decrease the risk of breaching the contract and guaranty the safety of futures trading, investors’ transaction cost would be increased indirectly, affecting the activeness of trading in the market. If the futures margin level is set too low, the risk area the margin level can cover will be smaller and the future exchange will face greater risk, whereas affecting the safety of trading in the futures market and endangering the entire financial market. Therefore, the current study puts efforts on the margin level adequacy for the ten-year government bond interest rate futures by applying Brennan’s model that is a theoretical model of margin requirement, to set up government bond future margin level. The period of this study is from February 1, 2004 to May 21, 2004. Consequently the empirical results of three models are as follows. First model finds that the minimum transaction cost is determined by using Brennan’s model and the margin corresponding to the minimum transaction cost is observed as NTD100 thousand. Second model finds that the average theoretical margin determined by substituting the actual closing prices of the public-bond interest rate futures into the theoretical model of margin is NTD110 thousand. Third finds that the average margin determined by applying the actual closing prices of the government bond interest rate futures into the margin requirement model is NTD190 thousand. All the levels of futures margin determined by using the above three models are lower than NTD195 thousand established by the government according to the closing prices of the ten-year government bond interest rate futures from Jan. 4, 2002 to Sept. 13, 2002 provided by OTC. In this study, a phenomenon is found that the margin levels established by the government for the government bond interest rate futures are all inclined to be much higher.

碩士
國立交通大學
財務金融研究所
104
This study prices convertible bonds (CB) with tree model that considers dividend expenses, tax benefits, and bankruptcy cost. By taking advantages of the game theory model, we analyze the bond call/conversion strategies and the values of contingent claims from three aspects. The first aspect is the number of CB holders. We analyze the sequential conversion behaviors given that there is only one holder (monopoly scenario) and every holder is a price taker (perfect competitive scenario). Then we compare them with the block conversion setting. Second, we analyze two different call back policies, one minimizes the CB holder’s value (the textbook policy) and the other maximize the value of equity holders. The final aspect is obtaining the shares for converted bonds by either issuing new equity or by repurchasing outstanding stocks from the market. I develop a tree to analyze optimal sequential conversion and call strategies under aforementioned circumstances in order to evaluate the values of bonds and equities under the structural model. Besides, we reference Lin (2012) that measures the expected survival age of convertible bonds. The expected age under the the maximizing equity call policy is longer than that of the textbook call policy, which explains the call delay phenomenon for convertible bonds. In the end, we compare the influence of issuing new stock and repurchasing treasury stock on the value and the expected survival age of convertible bonds. They are different if the partial conversion is allowed.

碩士
國立臺灣大學
財務金融學研究所
91
Credit risk hasn’t been a strange word in the fluctuating financial market and literatures focused on that have bloomed for the recent years. Besides, asset liability management (ALM) has been an important issue for a long time. In addition to interest rate risk, the most mentioned, we attempt to add the analysis of credit risk, or default risk, into the ALM, which is scanty in the relative literatures. In view of this lack, we try to analyze the optimal asset allocation decision between default-risk-free treasury bonds and default-able corporate bonds for a life insurance company. In this paper, the life insurance company runs a number of endowment policies and has cash outflows at the end of each period. First, default density model is adopted to price the default-able bonds. The main feature of this model is the combination of pricing model of traditional bonds and the default probability and recovery rate of default-able bonds. Next, we construct a model of asset allocation with the feature of borrowing penalty for the life insurance. In this model, a six-year single endowment police is used for the analysis. Several parameter analyses are followed then. Finally, we employ the simulation methodology to look into the variation of policy surplus in different scenarios by entering one after another the risks that the life insurance company faces. These risks include underwriting risks, in this paper denoting the mortality risk and surrender risks, credit risk and interest rate risk.

碩士
國立中興大學
財務金融系所
95
Given the market boom and the globalization trend in recent years, numerous financial derivatives have emerged in the capital market. Interest rate fluctuations on those derivatives can have a profound impact on domestic investment activities and the economy as a whole; therefore, it is crucial to have an established derivatives market that facilitates trading, strengthens risk management, and stabilizes the development of financial markets and the economy. This research focuses on the study of U.S. Treasury Bonds Futures. This research is established upon the two-factor Cox-Ingersoll-Ross model and estimates and the implied value of options in the U.S. Treasury Bonds Futures market through the use of the explicit finite difference method and the Hull-White model, which takes into consideration the feature of mean-reversion. In the selected period of year 1997 - 2000, the variance between estimated and actual market price for treasury bonds futures is between 5 to 10 USD (between 5% - 10%.) This variance is due to the large fluctuation in the degree of interest tree established by the model during month-end development that resulted in a deviation in the estimated interest rate structure. The price of month-end options is found to be between .1 to 30 cents, which constitutes less than 0.003% of the actual price and is deemed insignificant. I will target my future research towards estimating the lower and upper limit of futures prices, which will not only facilitate calculations but also provide a reference index. Moreover, since the method of estimating interest structure and the choice of model variables may lead to a deviation in the estimation process, I will attempt to make the necessary adjustments to the model variables, and to more accurately estimate the price of treasury bonds futures.

碩士
國立臺灣大學
財務金融學研究所
105
This article derives the method of constructing a trading strategy on Breakeven Fair Value Model and Liquidity Risk Indicator which helps investors earn the breakeven spreads by trading both U.S. Treasury Bonds and Treasury Inflation Protected Securities (TIPS) simultaneously. The model not only takes monetary policy, industrial growth and retail markets into account but also adjusted the strategy rapidly regarding to liquidity condition. The result shows that the logic behind the strategy can help earn a great amount of returns, and the model also possesses phenomenal predictive and adjusting ability that makes investors keep earning profits when extremely essential announcements or Black Swan events breakout.

This thesis investigates the use of realized volatility features from high frequency data in com- bination with neural networks to improve forecasts of the yield curve of government bonds. I use high frequency data on futures of four U.S. Treasury securities to estimate the Nelson-Siegel yield curve and realized variance of its parameters over the period of 25 years. The estimated parameters are used in prediction of the level, slope and curvature of the yield curve using an LSTM neural network and compared to the Dynamic Nelson-Siegel model. Results show that the use of realized variance and neural network outperforms autoregressive methods in prediction of the level and curvature in daily and monthly forecasts. The yield curve of government bonds itself has a predictive power on multiple macroeconomic variables, therefore improvements in its forecastability may have broader implications on forecasting the overall state of the economy.

JEL Classification System: E52, G12
Neste trabalho são estudados os impactos das taxas directoras do Banco Central Europeu nos mercados obrigacionistas e accionistas e os efeitos da crise financeira através da aplicação de métodos econométricos. Este impacto é analisado em vinte e uma variáv eis que incluem obrigações de diferentes maturidades e índices de cotação de acções para três países (Portugal, Espanha e Alemanha) , utilizando dados diários, no período de 2000 a 2011. Nos modelos, pela sua volatilidade e correlação com as taxas de referência, foi utilizada a Eonia. Os resultados da análise uniequacional sugerem que a crise não é relevante para grande parte dos instrumentos. Nas obrigações espanholas e alemãs, a teoria de uma resposta de sinal positivo revela-se verdadeira. Nas OT portuguesas, onde a crise é considerada, notam-se respostas de sinal contrário na presença ou não de uma recessão. Nesta análise não existem evidências de que o impacto diminua com o aumento das maturidades. O resultado da análise multiequacional, tomando a Eonia como exógena ao sistema, demonstra que o mercado obrigacionista, no período de estabilidade, detinha uma resposta positiva ao aumento desta, mas que com o surgimento da crise algumas obrigações portuguesas e espanholas acabam por dar uma resposta negativa. Num segundo modelo (Eonia como endógena), o mercado obrigacionista não apresenta resultados semelhantes não havendo assim nenhum padrão definido. Quanto ao impacto no mercado accionista, no segundo modelo denota-se uma clara diminuição nos índices Ibex e Dax e um evidente aumento no Psi20 com a presença de uma recessão. No entanto, ao contrário do sugerido na teoria, os índices bolsistas apresentam em todas as análises uma resposta positiva a alterações na Eonia.
This is a study about the impact of the European Central Bank interest rates in bond and stock markets and the financial crisis effects through the usage of econometric methods. This impact is analyzed in twenty-one variables that include different maturities bonds and share price indices for three countries (Portugal, Spain and Germany) using daily data during the period of 2000-2011. In models, it was used Eonia for its volatility and corr elation with the ECB key interest rates. The single-equation analysis suggests that economic crisis is not relevant to most of the instruments. For Spanish and German bonds the theory of a positive signal response reveals to be real. For the Portuguese bonds - where the crisis is considered -responses of opposite sign are noticed in the presence or absence of a recession. In this analysis there is no evidence that the impact decreases with the maturities. In multi-equation model, taking Eonia as exogenous in the system, the results show that during the stability period, the bond market had a positive response to an Eonia raise. However, with the emergence of the crisis, some Portuguese and Spanish bonds end up giving a negative answer. In a second system, where Eonia is also endogenous, the bond market does not present similar results; consequently there is no define pattern. As for the impact on stock market is concerned in model two, it denotes a clear decrease in Ibex Dax indices and an evident increase in PSI20 with the presence of a recession . However, as in the other analyses, and unlike the theory suggested, the stock market indices show a positive response to changes in Eonia in all cases.

Esta dissertação pretende analisar o impacto da política de "Quantitative Easing" adotada pelo Banco Central Europeu numa carteira de investimento. Com recurso a duas regressões lineares (uma em que existe o efeito de "Quantitative Easing" e outra não), esta tese irá analisar as variações das "yields" das obrigações soberanas da Alemanha, França, Espanha, Portugal, Itália e Irlanda para as maturidades de 2, 5 e 10 anos.
This dissertation analyzes the impact of European Central Bank’s Quantitative Easing policy in an investment portfolio. Using two linear regressions (one that has the effect of Quantitative Easing and the other doesn’t), this thesis will analyze the yields changes on Germany, France, Spain, Portugal, Italy and Ireland bonds for 2, 5 and 10 years maturities.

Instituto Superior de Economia e Gestão.
O progressivo estreitamento das margens de intermediação financeira, associado ao processo de convergência nominal preparatório para a 3a fase da UEM. origina uma profunda alteração da composição dos lucros do sector bancário, com o consequente reflexo na sua estrutura organizativa. Uma vez que uma parte significativa das maisvalias passa a depender da capacidade técnica das diferentes instituições, para a obtenção dos ganhos de arbitragem, torna-se imperioso um conhecimento profundo da gestão de carteiras, atendendo nomeadamente ao binómio rendibilidade versus risco. O presente estudo procura englobar, numa análise, todas as questões suscitadas pela introdução do elemento fiscal nas escolhas dos investidores. Neste sentido, concluise que a escolha de cada investimento depende de factores tais como: o comportamento de cada agente face ao risco; a classe de risco-equivalente a que pertence uma dada empresa; do grau de endividamento da empresa; e o nível de tributação individual especifico a cada investidor. Paralelamente, a existência de uma menor tributação das mais-valias face aos dividendos, e cupões, sugere a formação de diferentes clientelas para os títulos das empresas. Os investidores sujeitos a menores tributações tenderão a centrar as suas aplicações nos títulos que lhe gerem os maiores dividendos e cupões possíveis, enquanto que os investidores sujeitos a maiores tributações centrarão os seus investimentos nos títulos que lhe possibilitem as maiores mais-valias possíveis. Os resultados obtidos pelo modelo formulado para o mercado português de dívida pública, assente na formulação de Hodges e Schaefer (1977), sugerem a existência de efeitos clientela. A amostra foi constituída pelas cotações das obrigações do Tesouro no período compreendido entre Março e Agosto de 1996.
The progessive narrowing of financial margins, as a result of the convergcnce process to the third stage of the European Union, creates a tremendous change on the bank's profits. with a natural retlex on their ovvn internai structure. Since a significant percentage of the future profits will depend on the tecnieal analysis of the financial instituitions lo obtain arbitrage gains, it's extremely important to have a depth acknoledgmcnt of portfolio management, specially in order to maximize return against risk. The object of this study is to analyse ali the effeets on the portfolio selection. made by the investors, related with taxes. In that sense, previous studies have concluded the following to be the main elements to portfolio selection: the behavior of each investor against risk; the risk-class of each firm; the leverage levei ofthe firm; and. the personal tax rate of each investor. Meanwhile. the exislence of a lower capital gain tax against dividend tax and interest tax, suggests a tax's distortion designated by taxinduced clientele effeets. Investors with lower personal tax rates will focus their own portfolios on assets with higher dividend and interest yields, while investors with higher personal tax rates will focus their portfolios on assets with lower dividend and interest yield. The results obtained for the portuguese public debt market were based on the Hodges and Schaefefs model (1977) and suggest the existence of tax clienteles. The sample considered were the Treasury bond prices observed during the períod between March and August 1996.
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