Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors … for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as … term structure models that omit information about foreign bond yields are therefore likely to be misspecified …

Corporate bond investors are compensated for liquidity and counter-party risk in the yield received in excess of the …

premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model …

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …

bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to …

contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which … accommodate structural breaks, this paper estimates the impact of demand on US bond yields in the conundrum period. This impact is … shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives …

Existing literature nds that proxies for short-sale constraints do not predict bond returns.Using more comprehensive …-sale constraints, predicts negativereturns. Many lending fees are negative or low, suggesting many bond loans are fi … for bond characteristics and informationfrom the equity lending market …

I study the relationship between two old bond topics: The Government bond dealer and new-seasoned bond spreads. I …