Sharpe and Treynor Ratios on Treasury Bonds
We challenge asset pricing theory with numerous stylized facts regarding risk and return on U.S. Treasury securities. Most striking is our finding that reward/risk ratios vary inversely with maturity and are incredibly high for short‐term bills. Apparently investors would do much better engaging in...
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| Veröffentlicht in: | The Journal of business (Chicago, Ill.) Ill.), 2006-01, Vol.79 (1), p.149-180 |
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| Hauptverfasser: | , |
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| Sprache: | eng |
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| container_end_page | 180 |
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| container_issue | 1 |
| container_start_page | 149 |
| container_title | The Journal of business (Chicago, Ill.) |
| container_volume | 79 |
| creator | Pilotte, Eugene A. Sterbenz, Frederic P. |
| description | We challenge asset pricing theory with numerous stylized facts regarding risk and return on U.S. Treasury securities. Most striking is our finding that reward/risk ratios vary inversely with maturity and are incredibly high for short‐term bills. Apparently investors would do much better engaging in highly leveraged investments in bills instead of purchasing long‐maturity bonds or common stocks. Simulations of estimated three‐factor affine term structure models do not replicate the high ratios of reward to risk for bills. Other results include business cycle patterns in risk premiums, volatility, and the reward to volatility that vary with maturity. |
| doi_str_mv | 10.1086/497409 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0021-9398 |
| ispartof | The Journal of business (Chicago, Ill.), 2006-01, Vol.79 (1), p.149-180 |
| issn | 0021-9398 1537-5374 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37697899 |
| source | EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing; EZB-FREE-00999 freely available EZB journals |
| subjects | Assets Bond portfolios Bonds Business cycles Business studies Economic fluctuations Economic models Estimates Financial instruments Financial portfolios Investment returns Investment risk Investors Modeling Pricing Ratios Risk Risk premiums Securities prices Simulation Standard deviation Stocks Studies Systematic risk Theory Time series Treasuries Treasury bonds Volatility |
| title | Sharpe and Treynor Ratios on Treasury Bonds |
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