Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …

match the return on their euro government bond portfolio with their own funding costs. In addition, prospects for a …

We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our … transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads … a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results …

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …