Treasury Term Premia: 1961-Present
Treasury yields can be decomposed into two components: expectations of the future path of short-term Treasury yields and the Treasury term premium.
Crisis Chronicles: Central Bank Crisis Management during Wall Street’s First Crash (1792)
As we observed in our last post on the Continental Currency Crisis, the finances of the United States remained chaotic through the 1780s as the young government moved to establish its credit.
Can Investors Use Momentum to Beat the U.S. Treasury Market?
Decades of research have produced a library on the “momentum” anomaly in markets. Momentum refers to the tendency for financial assets with the best prior returns to continue to outperform, at least for a time.
No Good Deals—No Bad Models
The recent financial crisis has highlighted the significance of unhedgable, illiquid positions in complex securities for individual financial institutions and for the global financial system as a whole.