基本上，利率期間結構為各種定價模型之重要輸入變數，且多被校準於附息債券價格，因此所估計出來的利率應該可以正確地解釋債券之市場價格。然而，多數關於殖利率估計的實證研究，如Svensson(1994)指出其實證結果具有顯著的價格誤差。至於是什麼因素引起這些債券之價格誤差便是一個重要的問題，可能是因為債券流動性差異或是稅負處理的不同，但Elton and Green (1998)認為流動性與稅負並無法完全解釋所觀察到的債券價格誤差。因此這些誤差產生可能是因為模型錯誤設定引起，或是因為市場狀況所導致某些債券價格的錯誤定價。 本研究採用Svensson(1994)所延伸之Nelson-Siegel-Svensson模型並加入Subramanian(2001)提出的流動性加權方法，來估計2003年1月到2006年12月台灣公債市場之利率期間結構，接著可計算出價格誤差並以價格誤差為基礎的交易策略，利用移動平均法及時間序列模型以獲取異常報酬，並與買進持有法比較之。結果顯示價格誤差不完全來自於個別債券流動性，或是模型的錯誤設定，似乎含有某些經濟意涵，進而可從事當交易策略獲利。 The term structure of interest rates is an important input for basically every pricing model and is mostly calibrated on coupon bond prices. Therefore the estimated interest rates should accurately explain the market prices of these bonds. However nearly all empirical papers on interest rate estimation, e.g. Svensson(1994), report significant pricing errors in their sample. So an important question is what drives these pricing errors of the bonds. One simple explanation would be different tax treatment or different liquidity but most papers on this research topic, e.g. Elton and Green(1998), cannot fully explain the observed pricing errors. Therefore these errors must be at least partially caused by either model misspecification or by the mispricing of particular bond prices from general market conditions. We employ Nelson-Siegel-Svensson model by Svensson(1994) and liquidity weighted method by Subramanian(2001) to estimate the term structure of interest rates for the Taiwan government bond market for the time period January 2003 to December 2006. We present the resulting pricing errors and the trading strategies based on these pricing errors. The trading signals are received by using the moving average method and by calibrating time series models to the pricing errors which allows us to trade against observed mispricing. Empirical results can yield abnormal return compared to buy-and-hold strategies. Pricing errors seem to contain some economic information and are not exclusively caused by model misspecification or differences in liquidity of individual bonds.
