for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of … cat bond returns. After investigating a battery of possible cat bond return factors in bivariate and multivariate … portfolio sorts as well as Fama-MacBeth regressions, we propose a four-factor cat bond model. Its factors are the seasonality …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … Chinese bond market, downside risk proxy semi-variance can better explain yield spreads and predict portfolio excess returns …

In this paper, we apply Markowitz's approach of portfolio selection to government bond portfolios. As a main feature of … promising predicted risk-return profiles. If the number of risky bonds in the portfolio is not too large and the term structure … model does not contain more than two factors, these predictions are confirmed by the realized risk-return profiles. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they …