This study recalibrates corporate bond idiosyncratic risks in an international context. Applying a statistically …

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of … bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …-movements in forward term premia in global bond markets …

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 …

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 …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare …