We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best …. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional …

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …

article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads … period extends from January 1997 to August 2014. In the VAR models, speculative bond spreads and consumer confidence index … period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets. …

corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

We document significant outperformance by government bond funds on important macro announcement days such as FOMC and …

pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …

pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous …

pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous …

easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a ….The magnitude and the timing of the changes in yield spreads, coupled with the evolution of bond placements, are fully consistent …