SSRNTrading, Microstructure & Execution
Buying Duration: Index Rebalancing and Price Pressure in Government Bond Markets
Month-end index rebalancing that increases duration generates predictable demand and 1.19 basis points of monthly return concentrated on the rebalancing day in government bond futures.
Featured in No. 135 on 16 Oct 2026 · 2 days after release
- Released
- 14 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7601879
- Authors
- Amar Soebhag et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).