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...

What are the potential benefits from investing in bonds issued by a province when holding an efficient portfolio of bonds issued by the remaining nine ones? How beneficial is the exposure to additional provincial bond markets from the perspective of investors whose core interests reside in...

Regression-based testing techniques has long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This work derives regression-based spanning tests for the case in which the investment possibilities set contains, or is...

Supplementing a finite state-space static securities market with options obtains market completeness. This study concludes that options maintain the same spanning power in the space of bounded payoff topologized by its duality with the space of the state price densities.

The average return on long-term bonds exceeds the return on short-term bills by a large amount over short investment horizons. A riding-the-yield-curve investment strategy takes advantage of the higher returns on longer term bonds. This strategy involves the purchase of bonds with maturities...

This paper examines the role of asset performance, volatility, illiquidity, and monetary policy on flight-to-quality episodes. We consider flights from stocks into long and short-term Treasuries, and Moody's AAA corporate bonds. Flights are shown to be associated with stock market volatility....

The average return on long-term bonds exceeds the return on short-term bills by a large amount over short investment horizons. A riding-the-yield-curve investment strategy takes advantage of the higher returns on longer term bonds. This strategy involves the purchase of bonds with maturities...