FINANCIAL MANAGEMENT · Volume 46, Issue 4 · 2017

不同期限的投资级公司债券的相对表现

作者：Darrin DeCosta (LadderRite Portfolios LLC in Naperville), Fei Leng (University of Washington Tacoma in Tacoma), Gregory Noronha (Milgard School of Business at the University of Washington Tacoma)

摘要：我们发现在控制了风险差异的情况下，短期投资级公司债券比与之相似的长期投资级公司债券表现更好。我们的结果至少有一部分是由保险公司的交易行为所致，并且与期限结构的优先置产理论一致。我们发现保险公司的购买行为创造了对长期债券的强烈需求，并且为了调整资金组合，它们常常卖出短期债券。根据现有文献，这种需求-供给的不均衡很难被投机者和寻求择时发债的公司消化。

On the Relative Performance of Investment-Grade Corporate Bonds with Differing Maturities

Darrin DeCosta (LadderRite Portfolios LLC in Naperville), Fei Leng (University of Washington Tacoma in Tacoma), Gregory Noronha (Milgard School of Business at the University of Washington Tacoma)

ABSTRACT

We find that short-maturity investment-grade corporate bonds perform better, controlling for risk differences, than similar bonds with longer maturities. Our results are at least partially attributable to insurance companies’ trading behavior and align with the preferred-habitat theory of the term structure. We find that insurance-company purchases create a strong demand for long-term bonds and that their rebalancing activity results in sales of short-term bonds. As documented by extant literature, such demand-supply imbalance is not easily resolved by arbitrageurs or firms seeking to time the market with bond issuance.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12167/full

翻译：吴雨玲