This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond …

This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

the issuing firm's beta risk significantly, which is consistent with capital structure theory. These new findings on the …

We examine the predictability of government bond returns using a deep sample spanning 70 years of international data … across the major bond markets. Using an economic, trading-based testing framework we find strong economic and statistical … evidence of bond return predictability with a Sharpe ratio of 0.87 since 1950. This finding is robust over markets and time …

The study examines the predictability of 48 sovereign bond markets based on a strategy of 27,000 technical trading … bond markets is predictable, based on the buy-sell signals generated by trading rules, with the predictability of the … higher when the US tightens its monetary policies or undergoes recession; (iii) two-thirds of sovereign bond markets have a …