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 …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they …