across different tenors from 2000 to 2020. I find that bond tail risk 1) negatively correlates with stock tail risk in … uncertainty risk measures around FOMC announcements and document three novel findings: First, bond uncertainty increases three to …Using a large panel of Treasury futures and options, I construct model-free measures of bond uncertainty and tail risks …

bond covenants, we document that four out of 24 restrictions are associated with significantly higher bankruptcy risk. The … bankruptcy, or within-creditor conflicts. Firms that use In-House Counsel to help structure their bond issue and those that use … use of these Default Indicating covenants is associated with higher bond and CDS spreads. Overall, the results help …

of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by …In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market … risk premia. If there is a source of heterogeneity in the belief structure of the economy then differences in beliefs can …

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …

This paper documents the existence of primary dealers’ losses in Treasury bond markets and investigates how these … find that bond losses for primary dealers are prevalent and were severe during the financial crisis. Our results indicate … that liquidity constraints are a major source of bond losses observed in primary-to-secondary trades. We also find that …