related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …

We analyze the relationship between unemployment rate changes and government bond yields during and after the most … unemployment rate changes. The impact of an idiosyncratic rise in unemployment on bond yields turns out to be positive for European …, bond yields do not have an impact on unemployment. Our findings have interesting implications for the way shocks are …

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong … predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy … bond return of 1.03% in excess of the risk free rate. Returns based on this strategy are statistically highly significant …

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 …

of corporate bond portfolios sorted by past performance. Based on the evidence, we develop a model connecting bond … (higher) recovery value. In this case, the bond momentum can exist, because the “recovery premium” becomes more important when ….S. government bonds display no momentum, yet it emerges in sovereign bond returns. Time-varying aggregate default shocks and firm …

What are the economic determinants of the level and volatility of the second moments of stock and bond returns? We …-1997 change in the stock-bond covariance. Also, the second moments of risk premium news explain most of the variance of the …

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 …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …