risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond … is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

-domain properties of the decomposition to compute time-varying betas and analyse the determinants of risk across time …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare … influences the testing outcome thus quantifying the model risk associated with these model features. The model risk measure …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is …The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and …

expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …