pricing channel in addition to any direct dissemination impact. TRACE-associated improvement in bond valuation precision …

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 …

-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices … excess returns of individual bond markets and international bond portfolio strategies. The SDF is supported by standard … validation tests, but the fraction of unpriced components of bond returns is high, at around 50%. Hedging internationally …

We empirically investigate the importance of parameter uncertainty to bond investors. Using a Bayesian approach, we …

This paper analyzes the relation between country specific high-frequency activity indicators and bond holdings in the … portfolio of global investors. Based on positions from more than 20,000 investment funds, we show that bond flows are clearly … important drivers of bond purchases. We show that this effect of activity data - as captured by the Purchasing Managers' Indices …

Purposes - Indonesian government bond (known as SUN) plays an essential role in financing sustainable development in … macroeconomic factors or macro-risk on the yield curve of the SUN bond. Methodology - The type of data used in this study is … are some government bodies such as the Bank Indonesia website (www.bi.go.id) and the Indonesian site Bond Market Directory …

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …