Investor Heterogeneity in Treasury Markets
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The Wharton School::Wharton Undergraduate Research::Joseph Wharton Scholars
Degree type
Discipline
Business
Subject
Asset Pricing
Treasuries
Treasuries
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Grant number
Copyright date
2024
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Author
Curie, Wyatt
Contributor
Abstract
This paper replicates the demand system for asset pricing using security-level holdings data of treasuries and corporate bonds. Portfolio choice is modeled using characteristics like coupon rate, time to maturity, creditrating, issuance size, and bid-ask spread. Yield to maturity is instrumented by cross-sectional variation in pre-defined investment mandates. The effect of demand shocks on term premia are analyzed by investor type.
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Publication date
2024-04-01