stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

the issuing firm's beta risk significantly, which is consistent with capital structure theory. These new findings on the …

We develop tools for computing equilibrium bond prices for the discrete-time version of the Vayanos-Vila (2009) model …. With the maturity structure included in pricing factors, factor loadings for equilibrium bond yields depends on parameters …

month – corporate bond indices cannot rely exclusively on real time prices, and must instead estimate the value of the … “catch up” to the repeat sales indices produce consistent profits. This is true whether the strategies use individual bond …

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the … optimal hedge ratio for the bond-CDS trade. The results show that there are irreducible risks when hedging a defaultable bond …

We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split …

confirm the bond premium puzzle, i.e., we need an unreasonably high relative risk-aversion parameter to explain excess returns …

bond prices fell more than six percent below more-liquid but otherwise identical notes. Using high-resolution data on …