While it is widely claimed in the literature that convexity is correctly priced, we find evidence in four major swap markets that this is the case only on average and that extended periods occur when convexity-based trading strategies offer economically very significant exceptional returns. These abnormal returns can be reaped with fully no-peek-ahead strategies and after accounting for transaction costs. We find a strong link between the periods of highest profitability and conditions of reduced market liquidity. This suggests that, as observed in recent liquidity studies on US Treasuries, temporary deviations from market efficiency at the long end of the swap curve occur when pseudo-arbitrageurs do not have sufficient capital to correct the mispricings.

虽然在文献中广泛声称凸性是正确定价的，但我们在四个主要掉期市场中发现证据表明，这只是平均情况，并且当基于凸性的交易策略提供经济上非常显着的特殊回报时，会出现延长的时期。这些异常回报可以通过完全非前瞻性的策略并在考虑交易成本后获得。我们发现盈利能力最高的时期与市场流动性降低的条件之间存在密切联系。这表明，正如最近对美国国债的流动性研究所观察到的那样，当伪套利者没有足够的资本来纠正错误定价时，掉期曲线长端市场效率的暂时偏离就会发生。