to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield …

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …

present empirical evidence of the imprint made on corporate bond returns by the widespread use of the asset swaps data …

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real … economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability … levered investments in bonds can improve short-run bond return predictability …