frictions regarding cross-asset segmentation. We find that actively-managed equity funds and corporate bond funds linked within … accentuate the importance of collaboration between equity funds and bond funds within fund families …

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross …

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 …

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 …

important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond … of bond and issuer controls, including bond liquidity and duration, and issuer fixed effects. This behavior is related to …

factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond … returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting … that institutional investors dominating the bond market hold well-diversified portfolios with a negligible exposure to bond …

We study corporate bond default rates using an extensive new data set spanning the 1866-2008 period. We find that the … corporate bond market has repeatedly suffered clustered default events much worse than those experienced during the Great … entire corporate bond market. We examine whether corporate default rates are best forecast by structural, reduced-form, or …