This study proposes two rational models to reconcile the enigma regarding the inconsistent bond pricing that results … among bonds with the same ratings. First, we apply a nonlinear utility function to the expected utility theory and observe … different expected utilities for senior bonds and subordinated bonds with the same bond rating. Second, we implement the …

Bond market order flow contains information about future yield changes that is not incorporated into the current yield … tiers of the Norwegian government bond market, enables the paper to investigate the sources of predictability. Forecasts … based on individual bond dealer order flow suggest that customer type, rather than the size of the customer base, is one of …

markets' interpretation of the stock split. We examine corporate bond issues around stock splits and find a significant … decline in the bond yield spread following stock splits, supporting the signaling hypothesis. We also confirm improvements in …

results stand out: (i) GDP-linked bond prices would embed sizeable and time-varying risk premiums of about 40 basis points …

In out-of-sample trading tests, combined trading strategies based on the bond value model is able to raise the Sharpe …). The paper also shows the bond value model to be robust against data revisions in the US. The paper includes tests of the … itself and in combination with the value models and finds no benefit. The paper provides evidence of the bond value model …

a longer-maturity Treasury bond. A simple theoretical derivation leads to the testable prediction that low-beta (high …-beta) stocks should then exhibit positive (negative) bond betas. We find strong empirical confirmation for these predictions. The …