expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk …

. The approach can reconcile the inherent conflict between issuers and investors in green bond markets where one basis point … of spread premium gained for the issuer of a bond is one basis point lost for the investor. We illustrate that when green … our understanding of bond spreads' statistical properties becomes important: using the Unibail-Rodamco (ULFP) bond curve …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …

measures of equity market tail risk and the state of the macroeconomy predict bond returns beyond the level or slope of the …

be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data … for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …

A new concept of credit spread for defaultable bond pricing is introduced in this paper. When combined with the …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

spending for adaptation. This type of bond is known as ``green bonds" and presents remarkable growth in the global market. We …

development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by … signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread …