excess returns of individual bond markets and international bond portfolio strategies. The SDF is supported by standard … diversified bond portfolios against these unpriced risks improves portfolio performance substantially. The performance …-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices …

duration jumps. Thus, the effects on mortgage bond rates of duration jumps have overall been relatively contained, benefitting … explaining the observed spillover of duration jumps to a higher DanishGerman government bond yield spread. …