12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …

volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992 …The study investigated both the January effect and the "sell-in-May-and-go-away" anomaly in government bond returns. It …-2016 proved that both the bond returns and factor premia had remained unaffected by the January and "sell-in-May" effects. These …

. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically …, bond rates have been persistently negative after the Lehman-Brothers collapse. To explain this paradox, we suggest that, in …, this rise in perceived market fragility alone can explain the drop in both bond rates and price-dividend ratios observed …

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year … to generate systemic under-predictions of future realized volatility. …

-based structure. Liquidity conditions for EFSF bonds in the secondary market are different from those of large sovereign bond issuers …, which affects bond pricing. This paper offers the first study of the term structure of EFSF bond yields and a decomposition …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

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 …

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …