English
Sett deg på ventelisten
Bøkene... men ikke gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistikkMarkedsstatistikk og edger1,327StrategierBibliotek med testede strategier18ForskningsrapporterStudien bak algoene301DokumentasjonProBuilder-referanse27AlgoutviklingsprogramKurs og leksjoner24Alt dette mater de 24 algoeneSe algoene

Statistikk › Intraday og markedsmikrostruktur › Treasury by maturity

The Treasury announcement-day premium rises with maturity and turns negative at the short end

30 day bill t = -14.49: -0.7-0.730 day billt = -14.491 year t = 2.22: -0.5-0.51 årt = 2.225 year t = 2.57: 2.6+2.65 årt = 2.5710 year t = 2.23: 3.4+3.410 årt = 2.2320 year t = 2.04: 4.1+4.120 årt = 2.0430 year t = 2.02: 4.5+4.530 yeart = 2.02

Difference in basis points between mean announcement-day and mean non-announcement-day returns, CRSP daily data 1961 to 2009. Announcements are scheduled CPI and PPI releases, employment reports and scheduled FOMC decisions. Unscheduled FOMC announcements are excluded. These are differences in means, not raw returns.

On scheduled macro announcement days from 1961 to 2009, Treasury returns ran 4.5 basis points above normal at thirty years, 3.4 at ten and minus 0.5 at one year. The thirty day bill ran 0.7 basis points below, with a t statistic of minus 14.49.

4.5bpAnnouncement-day excess over normal days, 30 year, t = 2.02
3.4bpThe same measure for the 10 year, t = 2.23
-0.5bpThe same measure for the 1 year, t statistic reported as 2.22
-0.7bpThe 30 day Treasury bill, t = -14.49

Kun for medlemmer

Resten av denne siden er for medlemmer

Below this point there are 5 sections and 2 named sources, roughly 550 words of it. Every figure carries the source it came from and the date the data is from.

Du kan fortsette å se på all statistikk i biblioteket gratis. Innledningen og sammendraget er alltid åpne.