The mispricing of callable U.S. Treasury bonds: a closer look

Article Abstract:

Call options may suffer from systematic undervaluation when STRIPS prices determine the value of US Treasury bills. The misvaluation may occur slightly on average but considerably significant mistakes take place at times. For discounted callable bonds sold, negative option values may be detected though there is a small true value. The cuopon rate effect appears to be representative of the discount status of the Treasury callable bonds.

Government Bonds, Analysis, Prices and rates, Pricing

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Long-term information, short-lived securities

Article Abstract:

A study examining the trading strategy of people who have private information about long-term prospects of short-lived securities, in an environment where they cannot forecast how long the information is likely to remain private, is presented.

Economic aspects, Securities trading, Disclosure of information

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Does deliverability enhance the value of U.S. Treasury bonds?

Article Abstract:

The effect of deliverability of long-term US Treasury bonds on their value is studied. Deliverable bonds are more valuable than comparable, non-eligible bonds, and have lower estimated premia.

Capital funds & cash flow, Valuation, Treasury bonds, Bond prices, Report

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