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 …

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 …

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 …

short-term effects of policy announcements on exchange rates and sovereign bond yields. We find that on average a central … bank's first whatever-it-takes announcement lowers 10-year bond yields by an additional 47 basis points relative to size …

We assess the development of local currency bond markets in emerging market economies (EMEs). Supported by policies and … laws that helped to improve macroeconomic stability and creditor rights, many local currency EME bond markets have grown … by increasing their holdings of EME local currency bonds from less than $2 billion in 2001 to over $27 billion by end …

We analyze the development of 49 local bond markets. Our main finding is that policies and laws matter: Countries with … stable inflation rates and strong creditor rights have more developed local bond markets and rely less on foreign …-currency-denominated bonds. The results suggest that "original sin" is a misnomer. Emerging economies are not inherently dependent upon foreign …

defaults tighten home bond prices because they lower lenders' payoffs. Foreign defaults make home default less costly by …

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 … a mutual fund family exhibit a significant co-movement in holdings of commonly-held firms' equities and bonds. Such …