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Collateral affects return risk : evidence from the euro bond market
Helberg, Stig; Lindset, Snorre - In: Financial markets and portfolio management 34 (2020) 1, pp. 99-128
Persistent link: https://www.econbiz.de/10012225036
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The CSPP at work : yield heterogeneity and the portfolio rebalancing channel
Zaghini, Andrea - 2019
We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB's quantitative easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both...
Persistent link: https://www.econbiz.de/10011997427
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European Monetary Union bond market dynamics : pre & post crisis
Vukovic, Darko; Lapshina, Kseniya A.; Maiti, Moinak - In: Research in international business and finance 50 (2019), pp. 369-380
Persistent link: https://www.econbiz.de/10012177682
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Local currency bond returns in emerging economies and the role of foreign investors
So, Inhwan; Valente, Giorgio; Wu, Jason - 2019
Persistent link: https://www.econbiz.de/10012202946
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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading …
Persistent link: https://www.econbiz.de/10010467093
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Cross-sectional and time-series momentum in the US sovereign bond market
Martellini, Lionel; Rebonato, Riccardo; Maeso, Jean-Michel - In: The journal of fixed income : JFI 31 (2022) 3, pp. 20-40
Persistent link: https://www.econbiz.de/10012802444
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Informed trading in government bond markets
Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu - In: Journal of financial economics 142 (2021) 3, pp. 1253-1274
Persistent link: https://www.econbiz.de/10012875940
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Betting Against Beta (and Gamma) Using Government Bonds
Durham, J. Benson - 2016
Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading … nonetheless belie a possible tension rather than consistency between leverage constraints and low-risk investing: namely, that …
Persistent link: https://www.econbiz.de/10013005284
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Bond intraday momentum
Zhang, Wei; Wang, Pengfei; Li, Yi - In: Journal of behavioral and experimental finance 31 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012815421
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Time-varying risk of nominal bonds : how important are macroeconomic shocks?
Ermolov, Andrey - In: Journal of financial economics 145 (2022) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10013473700