We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have …

This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and … equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on … weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active …

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect …

Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

the placements of their assets in longer term bonds. Based on realised total bond returns of the major bond markets this … duration extension is limited. The major government bond and US agency markets do reward interest rate risk, but (excess …-income investor can improve the risk/return characteristics of a bullet treasury bond portfolio with a given interest rate exposure …