We examine the impact of monetary policy announcements by the Federal Open Market Committee (FOMC) on long-term US and German bond futures. Using transaction-level data during the post-financial crisis period, we observe a sizable post-announcement drift in government bond markets. A trading strategy of investing in the market after expansionary shocks and shorting the market following contractionary surprises yields up to four times the Sharpe ratio of buy-and-hold investment. The post-FOMC drift coincides with more informative order flows in the post-announcement period. Unlike stock index futures, post-FOMC announcement drifts in the government bond futures could persist for as much as 15 days. Besides, our study shows an absence of pre-FOMC announcement drift, and monetary policy uncertainty plays a minimal role in these markets. Our findings shed some light on how the bond markets react to public news arrival. |
谢耀文博士,美国密苏里大学圣路易斯分校金融系教授、特许金融分析师,香港大学工程学学士学位,纽约州立大学宾汉姆顿分校MBA学位,路易斯安那州立大学博士学位。谢耀文教授的研究领域包括国际投资和金融市场,曾在Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Econometrics, Management Science, Journal of Banking & Finance, Journal of Financial Markets, Journal of International Money & Finance, Journal of Empirical Finance, Journal of Financial Research, Journal of Futures Markets等国际期刊发表120多篇论文,入选2002年Financial Management (Chan, Chen and Steiner)根据16份主要国际金融学期刊评选的全球前100名金融学学者名录。谢教授曾为IBM, Lockheed Martin, 中国银行(香港)等公司 的专业课程授课,教学成果多次获得“教学优秀奖”,其中包括美国德克萨斯大学圣安东尼奥分校2006年颁发的“校长卓越教学奖”。 |