PhD Defence: Johan G. Duyvesteyn
In his dissertation ‘Empirical studies on sovereign fixed income markets’, ERIM’s Johan Duyvesteyn presents evidence of five studies showing that sovereign fixed income markets are not always price efficient.
Johan Duyvesteyn defended his dissertation in the Senate Hall at Erasmus University Rotterdam on Friday, 20 November 2015, at 9:30. His supervisors are <link people patrick-verwijmeren>Prof.dr. P. Verwijmeren and <link people martin-martens>Dr. M.P.E. Martens. Other members of the Doctoral Committee are <link people dick-van-dijk>Prof.dr. D.J.C. van Dijk (ESE), <link people mathijs-van-dijk>Prof.dr. M.A. van Dijk (RSM), and <link people onno-steenbeek>Prof.dr. O.W. Steenbeek (ESE).
About Johan Duyvesteyn
Johan Duyvesteyn was born on June 11, 1977 in Delft, the Netherlands. He studied econometrics at the Erasmus University Rotterdam from 1995 – 2000. He wrote his master thesis on basis of a six month internship at Robeco’s quantitative research department on the topic of country allocation in emerging equity markets. After the internship he started to work as a fixed income researcher at Robeco in June 2000. In June 2005 he completed the CFA study and was awarded with the CFA charter. He organized various training and teaching activities for the academic programme of the Kuwait Investment Authority and the master of financial management programme of the Rotterdam School of Management from 2005 – 2007.
In 2008 he started writing academic articles based on the work at Robeco. Supervising multiple internships of master students he worked on several innovative and new research topics. He has published his work in the Journal of Fixed Income (2010, 2014 and 2015) and the Journal of Banking and Finance (2015). Currently he works as a senior quantitative researcher and portfolio manager with Robeco. He is responsible for the so called quant duration capability that encompasses the prediction of sovereign fixed income markets returns for both developed and emerging government bond markets. His academic research findings are partly incorporated in the quant duration capability of Robeco. The capability is available to clients of Robeco via the investment funds Lux-o-rente, Flex-o-rente and Emerging lux-o-rente that currently have a joint size of more than EUR 2.5 billion.
Thesis Abstract
This dissertation presents evidence of five studies showing that sovereign fixed income markets are not always price efficient.
The emerging local currency debt market has grown to a large size of more than 1.5 trillion US Dollars at the end of 2012. The factors that can predict developed market government bond returns can also predict emerging market government bond returns. Changes in an adapted Merton model for government bonds can predict emerging market country credit default swap returns.
The euro crisis has highlighted the importance of political risk in government bond markets. Changes in political risk can predict future government bond returns. Market participants should avoid bond markets with higher political risk and rather invest in bond markets with lower political risk. Government bond returns are 3.8 percentage points higher in the second half of the calendar year than in the first half of the calendar year. This seasonal pattern is largely explained by an opposite pattern in not seasonally adjusted U.S. inflation which is 3.0 percentage points lower in the second half of the calendar year.
The swaption market has become the largest non-cleared interest rate derivative market with a (notional) size of 30 trillion USD as of April 2014. Although swaption models are different from equity options models, the swaption market contains volatility risk and jump risk premiums consistent with equity options. Combining the two risk premiums in a “riding the swaption curve” strategy provides a strong diversification.
· View and download Johan's dissertation
Photos: Chris Gorzeman / Capital Images
