This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing … coefficients appear neutral to weakly positive. Adjusting for nonlinearity the performance of many bond funds is significantly …

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 …

Over the past twenty years, especially the past decade, China has taken enormous strides to develop its bond market as … an integral step of financial reform. This paper aims to provide the most up-to-date overview of Chinese bond markets, by …. We explain various bond instruments traded in these two markets, highlighting their inherent connection with the banking …

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 …

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 …

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 …

bond yields. The result holds even when controlling for the default risk on corporate bonds. We argue that the corporate …We show that the US Debt/GDP ratio is negatively correlated with the spread between corporate bond yields and Treasury … bond spread reflects a convenience yield that investors attribute to Treasury debt. Changes in the supply of Treasury debt …