foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even …

This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same … verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship … reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from …This paper presents a model of international portfolios with real exchange rate and non financial risks that accounts …

This note considers a relatively new form of financing for social services, the "Social Impact Bond." Proponents of … Social Impact Bonds argue that they present a solution to several problems in funding social services, including performance … measurement and the distribution of risk. Using a simple model, we demonstrate that Social Impact Bonds have many features present …

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 …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

accentuate the importance of collaboration between equity funds and bond funds within fund families.Institutional subscribers to …Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset … frictions regarding cross-asset segmentation. We find that actively-managed equity funds and corporate bond funds linked within …