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. …