We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …

employed. We show that in the more efficient investment grade bond fund market segment, fund managers cannot translate higher … skill into higher fund alpha. In contrast, skilled managers can generate higher alpha in the less efficient high yield bond …