A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds
AbstractOur empirical analysis unveils a striking uniformity between the returns of Canadian federal and provincial bonds. Furthermore, the return spreads between these debt instruments are shown to be white noise. Relying on tests for mean-variance spanning, we also show that market participants are unlikely to benefit from expanding portfolios of federal bonds with debt securities issued by the Canadian provinces.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Alberta, Department of Economics in its series Working Papers with number 2009-7.
Length: 38 pages
Date of creation: 30 Jan 2009
Date of revision:
diversification benefits; bonds; spanning; Canada;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- DeRoon, Frans A. & Nijman, Theo E., 2001.
"Testing for mean-variance spanning: a survey,"
Journal of Empirical Finance,
Elsevier, vol. 8(2), pages 111-155, May.
- Roon, F.A. de & Nijman, T.E., 1998. "Testing for mean-variance spanning: A survey," Discussion Paper 1998-132, Tilburg University, Center for Economic Research.
- Nijman, T.E. & Roon, F.A. de, 2001. "Testing for mean-variance spanning: A survey," Open Access publications from Tilburg University urn:nbn:nl:ui:12-87531, Tilburg University.
- Stuart Landon & Constance E. Smith, 2000. "Government debt spillovers and creditworthiness in a federation," Canadian Journal of Economics, Canadian Economics Association, vol. 33(3), pages 634-661, August.
- Jobson, J D & Korkie, Bob, 1984. " On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 245-51, March.
- Landon, Stuart & Smith, Constance E., 2007. "Government debt spillovers in a monetary union," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 135-154, August.
- Nijman, T.E. & Roon, F.A. de & Werker, B.J.M., 2001.
"Testing for Mean-Variance spanning with short sales constraints and transaction costs: The case of emerging markets,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-86724, Tilburg University.
- Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1998. "Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets," Discussion Paper 1998-07, Tilburg University, Center for Economic Research.
- Wang, Junbo & Wu, Chunchi & Zhang, Frank X., 2008. "Liquidity, default, taxes, and yields on municipal bonds," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1133-1149, June.
- Delroy M. Hunter & David P. Simon, 2005. "A Conditional Assessment of the Relationships between the Major World Bond Markets," European Financial Management, European Financial Management Association, vol. 11(4), pages 463-482.
- Roon, F.A. de & Nijman, T.E. & Veld, C.H., 2000.
"Hedging pressure effects in futures markets,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-83944, Tilburg University.
- Bekaert, Geert & Urias, Michael S, 1996.
" Diversification, Integration and Emerging Market Closed-End Funds,"
Journal of Finance,
American Finance Association, vol. 51(3), pages 835-69, July.
- Geert Bekaert & Michael S. Urias, 1996. "Diversification, Integration and Emerging Market Closed-End Funds," NBER Working Papers 4990, National Bureau of Economic Research, Inc.
- Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003.
"Asymmetric dynamics in the correlations of global equity and bond returns,"
Working Paper Series
0204, European Central Bank.
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
- Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-88, September.
- Bessembinder, Hendrik, 1992. "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 637-67.
- Jobson, J. D. & Korkie, Bob, 1982. "Potential performance and tests of portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 10(4), pages 433-466, December.
- Dhritidyuti Bose & Rajeev Jain & Lakshmanan L, 2011. "Determinants of Primary Yield Spreads of States in India: An Econometric Analysis," Working Papers id:4370, eSocialSciences.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Brenda Carrier).
If references are entirely missing, you can add them using this form.