• DOI:10.2139/ssrn.1012607
Corpus ID: 1109971

Bond Supply and Excess Bond Returns

@article{Greenwood2008BondSA,
  title={Bond Supply and Excess Bond Returns},
  author={R. Greenwood and Dimitri Vayanos},
  journal={Public Economics: National Budget},
  year={2008}
}

• R. Greenwood, Dimitri Vayanos
• Published 2008
• Economics
• Public Economics: National Budget

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model, we find that (i) the supply of long- relative to short-term bonds is positively related to the term spread, (ii) supply predicts positively long-term bonds' excess returns even after controlling for the… Expand

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