Computer-based Trading, Institutional Investors and Treasury Bond Returns

Xiaoquan LIU; Ingrid LO; Minh NGUYEN; Giorgio VALENTE

Computer-based Trading, Institutional Investors and Treasury Bond Returns

Xiaoquan LIU
, Ingrid LO
, Minh NGUYEN
, Giorgio VALENTE

Department of Economics and Finance

Research output: Conference Papers › RGC 32 - Refereed conference paper (without host publication) › peer-review

Abstract

This study provides a comprehensive analysis of the effects of Computer-based Trad- ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the largest beta to the aggregate CBT intensity and shorting those with the smallest generates large and significant returns. Those returns are not due to compensation for facing conventional sources of risk or to transaction costs. We explain our results in light of institutional investors?fund ?ows consistent with Vayanos and Woolley (2013).

Original language	English
Publication status	Published - 9 Jun 2016
Event	The 3rd Vietnam International Conference in Finance - Da Nang City , Viet Nam Duration: 9 Jun 2016 → 10 Jun 2016

Conference

Conference	The 3rd Vietnam International Conference in Finance
Place	Viet Nam
City	Da Nang City
Period	9/06/16 → 10/06/16

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title = "Computer-based Trading, Institutional Investors and Treasury Bond Returns",

abstract = "This study provides a comprehensive analysis of the effects of Computer-based Trad- ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the largest beta to the aggregate CBT intensity and shorting those with the smallest generates large and significant returns. Those returns are not due to compensation for facing conventional sources of risk or to transaction costs. We explain our results in light of institutional investors?fund ?ows consistent with Vayanos and Woolley (2013).",

author = "Xiaoquan LIU and Ingrid LO and Minh NGUYEN and Giorgio VALENTE",

year = "2016",

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note = "The 3rd Vietnam International Conference in Finance ; Conference date: 09-06-2016 Through 10-06-2016",

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T1 - Computer-based Trading, Institutional Investors and Treasury Bond Returns

AU - LIU, Xiaoquan

AU - LO, Ingrid

AU - NGUYEN, Minh

AU - VALENTE, Giorgio

PY - 2016/6/9

Y1 - 2016/6/9

N2 - This study provides a comprehensive analysis of the effects of Computer-based Trad- ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the largest beta to the aggregate CBT intensity and shorting those with the smallest generates large and significant returns. Those returns are not due to compensation for facing conventional sources of risk or to transaction costs. We explain our results in light of institutional investors?fund ?ows consistent with Vayanos and Woolley (2013).

AB - This study provides a comprehensive analysis of the effects of Computer-based Trad- ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the largest beta to the aggregate CBT intensity and shorting those with the smallest generates large and significant returns. Those returns are not due to compensation for facing conventional sources of risk or to transaction costs. We explain our results in light of institutional investors?fund ?ows consistent with Vayanos and Woolley (2013).

M3 - RGC 32 - Refereed conference paper (without host publication)

T2 - The 3rd Vietnam International Conference in Finance

Y2 - 9 June 2016 through 10 June 2016

ER -

Computer-based Trading, Institutional Investors and Treasury Bond Returns

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