We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market … prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its … implement the model using corporate bond transaction data from the United States and a rating agency transition matrix to …

investment. We test these predictions using a sample of U.S. firms and present new evidence that supports our theory …

studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt … advantage of global bonds does not fully explain the yield differential. The findings imply that international corporate bond … markets are not fully integrated, and global bond offerings can reduce the cost of debt …

issuer’s preferences determine currency choice in international bond issuance …

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly … predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in … factors. Finally, correlations between international bond risk premia have increased over time, suggesting an increase in …

The endeavor to understand bond returns and the term structure of interest rates has generated an extensive literature … perspective. This chapter reviews the relevant literature while also providing empirical evidence on international bond risk …