Fed and foreign investors earn lower returns on Treasuries, paper finds
Foreign investors tend to buy Treasuries when they are “expensive and offer low future returns”
The US Federal Reserve and foreign investors tend to earn a lower return on their US Treasury holdings because of the dynamic trading strategies they employ, new research finds.
Published by the National Bureau of Economic Research in the US, the working paper studies the “timing dimension” of trading in the US Treasury market.
Authors Zhengyang Jiang, Arvind Krishnamurthy and Hanno Lustig note previous studies have shown foreign investors are willing to accept a low return and typically have
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