This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and 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 …

and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As … strongly correlated with recent stock and bond market returns and stock and bond market uncertainty as measured by implied … volatilities. Stock market returns primarily stimulate exchanges between equity and money market funds with little impact on bond …

and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As … strongly correlated with recent stock and bond market returns and stock and bond market uncertainty as measured by implied … volatilities. Stock market returns primarily stimulate exchanges between equity and money market funds with little impact on bond …