Abstract
Academics and research analysts in financial economics frequently use returns on government bonds for their empirical analyses. In the United States, government bonds are also called Treasury bonds. The Federal Reserve publishes the yield-to-maturity of Treasury bonds. However, the Treasury bond returns earned by investors are not publicly available. The purpose of this study is to provide these currently not publicly available return series and provide formulas such that these series can easily be updated by researchers. We use standard textbook formulas to convert the yield-to-maturity data to investor returns. The starting date of our series is January 1962, when end-of-month data on the yield-to-maturity become publicly available. We compare our newly created total return series with alternative series that can be purchased. Our return series are very close, suggesting that they are a high-quality public alternative to commercially available data.
Highlights
It is not straightforward to obtain historical data on government bond returns, unless the data is purchased from commercial data vendors
The yield-to-maturity of Treasury bonds with a 10-year maturity is available from the Federal Reserve Economic Data (FRED) database, maintained by the Federal Reserve Bank of St
Investor returns can be approximated with yield-to-maturity data using finance textbook formulas
Summary
It is not straightforward to obtain historical data on government bond returns, unless the data is purchased from commercial data vendors. Investor returns can be approximated with yield-to-maturity data using finance textbook formulas. Our contribution is to transform the publicly available yield-to-maturity time-series into investor returns, and make this data publicly available for academics and research analysts in the finance industry. We show that the returns are very close to alternative Treasury bond return series that have to be purchased from data vendors. The main advantage of our data is that it is available at the monthly frequency, which is often used in the asset pricing literature. Another example is [2], the authors of which have collected foreign currency sovereign bond prices traded in London and New York since 1815
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
