IDEAS home Printed from https://ideas.repec.org/a/bla/manch2/v63y1995i0p22-39.html
   My bibliography  Save this article

How To Make Money in the Bond Market: International Evidence of Inefficiency and What It Suggests about the Way Markets View Monetary Policy

Author

Listed:
  • Wright, Stephen

Abstract

M. C. Jensen (1978) describes a market as efficient if it is impossible to make economic profits by trading on the basis of available information. On this criterion, the bond markets of the United States, the United Kingdom, and Germany are all inefficient. Trading rules that switch between bonds and cash on the basis of recursive econometric forecasts of bond price changes are shown to earn rates of return higher than bonds, and comparable to the return on equities, with lower volatility of returns than either. Underlying this inefficiency is an apparent tendency to understate the stabilizing impact of monetary policy. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Wright, Stephen, 1995. "How To Make Money in the Bond Market: International Evidence of Inefficiency and What It Suggests about the Way Markets View Monetary Policy," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(0), pages 22-39, Suppl..
    • Handle: RePEc:bla:manch2:v:63:y:1995:i:0:p:22-39
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:manch2:v:63:y:1995:i:0:p:22-39. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/semanuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.