-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 …

This paper investigates whether firms are able to diversify the maturity structure of their bond profiles given the … availability of the offshore bond markets. I look at average maturity, maturity structure, and the inverse of the Herfindahl index … currency hedging also matter in bond maturity management with the presence of offshore bond markets …

With the recent development of the European debt crisis, traditional index bond management has been severely called …-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with … respect to active management of bond portfolios …

leverage of government bond portfolios between DMs and the AEM. It first identifies the potential diversification and describes … the financial integration for incorporating AEM government bonds into DMs government bond portfolios. In the second phase … benefit of the strategy. In the last phase, a robust test examines the strength of bond portfolio performance between DMs with …

We analyze how interest rates affect cross-border portfolio investments. Data on U.S. bond holdings by foreign …

met, is included in almost all bond trust instruments. This article compares two approaches in interpreting this clause …

to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …