Corporate bond returns in major developed economies increase with lower ratings and higher residual maturity. The performance of various factor models featuring corporate, sovereign and equity markets as factors suggests that the corporate bond factor plays a dominant role in explaining the...

We decompose 5 year nominal bond yields into real and inflation components in an international context using inflation-linked and nominal bonds. Real rate variation dominates the variation in inflation-linked and nominal yields, but liquidity and inflation risk premiums are also important....