-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices … excess returns of individual bond markets and international bond portfolio strategies. The SDF is supported by standard … validation tests, but the fraction of unpriced components of bond returns is high, at around 50%. Hedging internationally …

This paper investigates whether firms are able to diversify the maturity structure of their bond profiles given the … availability of the offshore bond markets. I look at average maturity, maturity structure, and the inverse of the Herfindahl index … currency hedging also matter in bond maturity management with the presence of offshore bond markets …

With the recent development of the European debt crisis, traditional index bond management has been severely called …-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with … respect to active management of bond portfolios …

leverage of government bond portfolios between DMs and the AEM. It first identifies the potential diversification and describes … the financial integration for incorporating AEM government bonds into DMs government bond portfolios. In the second phase … benefit of the strategy. In the last phase, a robust test examines the strength of bond portfolio performance between DMs with …

We analyze how interest rates affect cross-border portfolio investments. Data on U.S. bond holdings by foreign …

A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and … of return potential and risk drivers on the bond allocation, on assumptions and on market conditions in order to improve … €10billion insurer portfolio. Current market conditions favor short bond duration, reducing government bonds and mixing in …

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …

bond market from the same bond market's weight in global bond market, we investigate the determinants of foreign and … domestic investment biases in 41 global bond markets. We find that foreign investors significantly overweigh markets that offer …. Such return driven behavior of foreign investors is especially pronounced in emerging bond markets. Meanwhile, home bias is …