These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

This study examines the behavior of sovereign bonds to COVID-19 related news in 24 countries most affected by the COVID-19 pandemic. The study applies a continuous Hidden Markov Model (HMM) to analyze the regime shifting behavior of sovereign bonds to the news. The results show that the COVID-19...

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the current level of VIX index. At the low level of VIX (below 20) the term structure is highly upward sloping; at the high VIX level (over 30) it is strongly downward sloping. We...

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Interest rate changes typically affect the value of equities. However, the slow movement of investment capital may delay the transmission of this information from interest rate markets to stocks. Using a century of data from sixty countries, we demonstrate that yield curve shifts predict future...

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

This paper investigates herding behaviors in U.S treasury markets. We document novel evidence that mutual funds exhibit strong herding behaviors on trading long-term treasuries. This “term-structure” herding is only pronounced for buy herding, not sell herding. The relationship between...

In this paper, we estimate the impact of fundamental economic factors on corporate bond spreads in Israel. Using a database that includes all tradable corporate bonds in Israel in 2007–20, we examine if, when, and in what bond groups there was a prolonged deviation of the actual spread from...

In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a reduction in the credit risk premium. Crucially, the relevant exchange rate involved in yield compression is...