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

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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Year of publication:	2009-01-30
Authors:	Galvani, Valentina ; Behnamian, Aslan
Institutions:	Department of Economics, University of Alberta
Subject:	diversification benefits \| bonds \| spanning \| Canada

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Working Papers Number 2009-7 38 pages
Classification:	G11 - Portfolio Choice ; G18 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004970421