장단기 기간스프레드의 주식수익률에 대한 정보력 비교에 관한 연구

초록

Term spreads are the difference in interest rates across different maturities of bonds and are known to have predictive power for future economic conditions and stock returns. This study compares the informational power of long-term spreads (10 years-3 months) and short-term spreads (3 months-1 day) and analyzes the sources of the difference in informational power. By comparing the principal components derived from a principal component analysis (PCA) using the term structure of interest rates, we identify which elements of the term structure are related to the informativeness of long-term and short-term spreads. The results showed that short-term spreads are somewhat more informative than long-term spreads, but also have limited explanatory power. However, the slope component (PC2) of the PCA using interest rate information from all maturities had significant explanatory power for future returns. On the other hand, the curvature component of the PCA (PC3) had significant explanatory power for future returns, on average, during periods of high interest rates. The authors found that the explanatory power of the curvature component (PC3), which together with the slope component holds information about future returns, varies significantly with the level of interest rates: during low interest rate periods, the predictive power of the curvature component is not significant, while as interest rates rise, the predictive power of the curvature component changes significantly. The contributions of our study is that we identify differences in the informativeness of term spreads by maturity and the sources of these differences. In particular, we find that the informativeness of short-term spreads, which have received little attention, is significantly higher than that of long-term spreads. This informational difference can be explained by the possibility that different maturities in the term structure of interest rates may contain independent information. This suggests that in order to extract richer information from the interest rate curve, it is necessary to simultaneously utilize various information from the entire term structure in addition to term spreads of specific maturities.

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