A study on the factors that governs US and EU YTM

• Autores: Darko B. Vukovic, Victor Prosin, Moinak Maiti
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 66, Nº. 3, 2021
• Idioma: inglés
• DOI: 10.22201/fca.24488410e.2021.2688
• Títulos paralelos:
  • Un estudio sobre los factores que rigen EE. UU. y la UE YTM
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    Este trabajo analiza los factores que contribuyen al rendimiento de las obligaciones gubernamentales al vencimiento en la UE y mercados estadounidenses. Se tienen en cuenta tanto las características de los bonos como los factores macroeconómicos, y Se proporciona la magnitud de cada uno de los factores que componen el rendimiento medio al vencimiento. Debido a una severa crisis financiera de los últimos años, las economías aún se están recuperando de los efectos que inversores para buscar los instrumentos de inversión estables. Los resultados de este estudio son un buen fundamento para inversores privados que deseen un rendimiento estable con una exposición de bajo riesgo. Los factores y obtenidos coeficientes incluidos en el documento, pueden ser utilizados por inversores, tanto privados como institucionales, para comprender las magnitudes de las primas que pueden asumir variando las características de los bonos que tienen en cuenta al rendimiento del bono hasta el vencimiento. Los inversores pueden decidir en qué primas están dispuestos a centrarse, para obtener los rendimientos esperados deseados.

  • English

    This paper analyzes the factors that contribute to the government obligations yield to maturity on the EU and US markets. Both, the bond characteristics and macroeconomic factors are taken into account, and the magnitude of each of the factor is provided which compose the average yield to maturity. Due to a severe financial crisis in the past years, economies are still recovering from the effects what makes investors to look for the stable investment instruments. Results of this study are a good fundamental for private investors that desire a stable return with a low-risk exposure. The factors and obtained coefficients included in the paper, can be used by investors, both private and institutional, to understand the magnitudes of the premiums that they can take on by varying the bond characteristics which account to the bond yield to maturity. Investors can decide at which premiums they are willing to focus, to obtain the desired expected returns.

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