Affine term structure models; Bond return distributions; Corporate bonds; Credit rating; Fixed income portfolios …Besides the introduction, the thesis is organized in two parts. Part I assumes a bond investor with μ-σ preferences … 4 assesses the statistical distribution of daily EMU bond returns for the period 1999 to 2012. …

between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error … that the stock's earnings yield followed the bond yield in both the short- and long-run, but not the other way around …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …