Can broker-dealer client surveys provide signals for debt investing?

Sandro Andrade, W. Brian Barrett

Research output: Contribution to journal › Article

Abstract

We use a novel data set to study return predictability in debt markets. The data are collected from J.P. Morgan's periodic surveys on its clients' outlook for changes in US Treasury yields and corporate credit spreads. We document that simple signals constructed from such surveys predict excess returns on debt portfolios formed on the basis of duration (2-years minus zero) or credit quality (BBB minus AAA). A linear trading strategy placing equal weight on Treasury and Credit signals has an annualized Information Ratio equal to 1.18, before transaction costs. We also show that predictability is likely to stem from private information possessed by survey respondents rather than from risk premia.

Original languageEnglish (US)
Pages (from-to)1170-1178
Number of pages9
JournalJournal of Banking and Finance
Volume35
Issue number5
DOIs
StatePublished - May 1 2011

Fingerprint

Investing
Broker
Debt
Dealers
Credit
Predictability
Risk premia
Credit spreads
Return predictability
Trading strategies
Placing
Private information
Excess returns
Transaction costs

Keywords

  • Client survey
  • Debt markets
  • G12
  • G14
  • G24
  • Return predictability

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

Can broker-dealer client surveys provide signals for debt investing? / Andrade, Sandro; Barrett, W. Brian.

In: Journal of Banking and Finance, Vol. 35, No. 5, 01.05.2011, p. 1170-1178.

Research output: Contribution to journal › Article

Andrade, S & Barrett, WB 2011, 'Can broker-dealer client surveys provide signals for debt investing?', Journal of Banking and Finance, vol. 35, no. 5, pp. 1170-1178. https://doi.org/10.1016/j.jbankfin.2010.09.026
Andrade S, Barrett WB. Can broker-dealer client surveys provide signals for debt investing? Journal of Banking and Finance. 2011 May 1;35(5):1170-1178. https://doi.org/10.1016/j.jbankfin.2010.09.026
Andrade, Sandro ; Barrett, W. Brian. / Can broker-dealer client surveys provide signals for debt investing?. In: Journal of Banking and Finance. 2011 ; Vol. 35, No. 5. pp. 1170-1178.
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