important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond … market. We show that insurance companies, the largest institutional holders of corporate bonds, reach for yield in choosing … their investments. Consistent with lower rated bonds bearing higher capital requirement, insurance firms' prefer to hold …

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is … significantly lower than investment grade bonds in the cross section and deteriorated significantly following the 2008-9 financial …

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our … maturities trade with arbitrageurs. Consistent with the model, we find that (i) the supply of long- relative to short-term bonds … is positively related to the term spread, (ii) supply predicts positively long-term bonds' excess returns even after …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …

I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes … corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs …

nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … follow simple time-series processes whose parameters can be estimated from the cross-section of bond prices. The extracted …

The aim of this paper is to examine the determinants of interests rates on tax-exempt hospital bonds. The results … debt by encouraging bond issues to contain call features. Are the interest rate effects associated with these policies …