curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

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 … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

We document significant outperformance by government bond funds on important macro announcement days such as FOMC and …

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling … estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique … the conditional distribution of excess bond returns is affected by a state variable that does not lie in the span of the …

This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond …

This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond …