bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo …

new causal link between bond and equity markets, and is a valuable new tool for the modeling and prediction of stock …

We evaluate the performance of the US bond mutual fund industry using a comprehensive sample of bond funds over a long … time period from January 1998 to February 2017. In this one study, we examine bond fund selectivity, market timing and … performance persistence. We evaluate bond funds relative to their self-declared benchmarks and in terms of both gross …

This paper studies the drivers of primary dealers' repo activity and the effect of repo market frictions on bond market … liquidity. It separates the two tiers of the bond market, the electronic limit order book (LOB) and the over-the-counter (OTC … to borrow bonds when their inventories are depleted via executed ask limit orders. Intermediaries in electronic bond …

different borrowers that is distinct from the standard metrics gleaned from bond yields or credit-default swaps. As such, while …

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … cheapest-to-deliver bonds) versus those that are not, while controlling for firm fundamentals and bond illiquidity. This … CDS buyers and sellers manipulating bond prices to achieve favorable CDS auction outcomes, rather than a spillover of …

debt markets. We use unit record data for bond issuance by non-government residents of Australia, Hong Kong, Korea, Japan …-rated or longer-maturity bonds. These bond characteristics tend to be correlated with offshore bond market size. The results …

Existing literature nds that proxies for short-sale constraints do not predict bond returns.Using more comprehensive …-sale constraints, predicts negativereturns. Many lending fees are negative or low, suggesting many bond loans are fi … for bond characteristics and informationfrom the equity lending market …