-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well … heteroskedasticity in bond returns. An empirical application involving a data set with 15 fixed income securities with different …

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …

Purposes - Indonesian government bond (known as SUN) plays an essential role in financing sustainable development in … macroeconomic factors or macro-risk on the yield curve of the SUN bond. Methodology - The type of data used in this study is … secondary data in the form of BI Rate, Inflation, Exchange Rate, Foreign Exchange Reserves, Current Account Deficit, and crude …

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …

The traditional approach to bond portfolio immunization usually assumes that the possible future changes of the term … different bond portfolio immunization models—from the classical duration to key rate and parametric duration hedging. We propose …

This paper studies the role of mutual fund yield in driving investor flows and performance of bond funds. Using two … common measures, the SEC yield and 12-month distribution yield, we find strong evidence that investors tend to chase bond … funds with higher yields, even after controlling for total fund returns and fund ratings. Although bond funds with higher …