no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is … unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite … disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns …

.5% positive significant abnormal returns. The US T-Bond fund recorded a 9% return with a significant 7.2% abnormal return. The …

.5% positive significant abnormal returns. The US T-Bond fund recorded a 9% return with a significant 7.2% abnormal return. The …

This paper studies the dynamic information flows between stock and corporate bond markets. Using accurately measured … returns on corporate bond exchange-traded funds (ETFs), we find that returns on a portfolio of stocks of firms issuing the … bonds in the ETFs positively predict corporate bond ETF returns, but not vice versa. The return predictability is stronger …