据JFE官网显示，来自香港科技大学的楼栋、瑞士国际清算银行的Gabor Pinter、约翰·霍普金斯大学的Semih Üslü、英国英格兰银行的Danny Walker，合作撰写的“Yield drifts when issuance comes before macro news”，在国际金融学顶刊《Journal of Financial Economics》上正式发表。
Title: Yield drifts when issuance comes before macro news
当债券在宏观经济消息发布之前发行时，收益率会出现波动
楼栋
香港科技大学
Gabor Pinter
瑞士国际清算银行
Semih Üslü
约翰·霍普金斯大学
Danny Walker
英国英格兰银行
UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints play a role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news windows, but more passive investors – such as foreign central banks and pension funds – provide liquidity in pre-news windows. We outline a simple model to rationalize these findings.
英国政府债券收益率倾向于在预定消息（如货币政策声明和劳动力市场数据发布）之前向上漂移。这种效应在英国债券发行期间尤为明显，并且与较高的期限溢价有关。金融中介约束发挥了作用，因为交易商在发行后的预定消息窗口期间避免积累库存。流动性提供者的构成也发生了变化：对冲基金在预定消息窗口之外购买了大量债券发行份额，但更被动的投资者——如外国央行和养老基金——在预定消息窗口期间提供流动性。本文概述了一个简单的模型来合理解释这些发现。
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