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

The green bond market has grown strongly in recent years, especially in the euro area. With regard to the European … rapidly evolving green bond market. In addition, the effect of ECB bond purchases on yields under the corporate sector … purchase program (CSPP) and the pandemic emergency purchase program (PEPP) is examined. The analysis shows that ECB bond …

implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …

A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and … of return potential and risk drivers on the bond allocation, on assumptions and on market conditions in order to improve … €10billion insurer portfolio. Current market conditions favor short bond duration, reducing government bonds and mixing in …

-of-sample bond return predictability when real-time, instead of fully-revised, macro variables are taken as predictors. First, when … forecasting both non-overlapping and overlapping excess bond returns. In contrast, some machine learning models can help find some … statistical evidence for forecasting overlapping excess bond returns. Second, when using both pure real-time macro information and …

. The indifference price of the zero-coupon bond is the price at which the investor could achieve the same expected utility … under both strategies. In an affine term structure setting, we show that the indifference price of the zero-coupon bond is …

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

TRACE bond returns are meaningfully different from ICE bond return data used by banks, asset managers, and hedge funds …

This paper documents a high and increasing capital concentration in the bond fund industry over the past three decades …. Large funds deliver better performance and receive larger inflows than small funds, which explains the concentration of bond … PIMCO in 2014, we show that bond return volatility increases (decreases) with trading fund size when the aggregate market …