This paper examines the impact of Fixed Income Exchange-Traded Funds (ETFs) on corporate bond liquidity. I find that … between ETF ownership and bond liquidity. Moreover, ETFs do not appear to deteriorate the liquidity of their bonds during ETF …

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 …

We document significant outperformance by government bond funds on important macro announcement days such as FOMC and …

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

By the 1990s, basis risk had caused bond markets, like money markets before them, to start shifting from the use of … that interest rate swaps continue to gain on government bond futures for hedging and positioning at the long end of the … bond rates as benchmarks …

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 …

What are the economic determinants of the level and volatility of the second moments of stock and bond returns? We …-1997 change in the stock-bond covariance. Also, the second moments of risk premium news explain most of the variance of the …