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A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds

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Author Info
Galvani, Valentina () (University of Alberta, Department of Economics)
Behnamian, Aslan (University of Alberta, Department of Economics)

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Abstract

Our 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.

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File URL: http://www.uofaweb.ualberta.ca/economics2/pdfs/WP2009-07-Galvani-Behnamian.pdf
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Publisher Info
Paper provided by University of Alberta, Department of Economics in its series Working Papers with number 2009-7.

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Length: 38 pages
Date of creation: 30 Jan 2009
Date of revision:
Handle: RePEc:ris:albaec:2009_007

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Related research
Keywords: 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

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This page was last updated on 2009-11-26.

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