Showing 1 - 10 of 51 results

Sort By
  • Relevance
  • Newest
  • Oldest

Podcast

Interest Rate Limbo

We investigate why investors might want bonds in their portfolios, even in a low-yield environment.

Journal Article

Style Investing in Fixed Income Markets

A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive (sometimes called “quality”), can offer alternative sources of outperformance not only within equities, where these ideas have long been studied and applied, but also within fixed income markets.

Journal Article

Forecasting U.S. Bond Returns

It is difficult to forecast bond market fluctuations, although some research shows that these fluctuations are not fully unpredictable: It is possible to identify in advance periods when the reward for duration extension is likely to be abnormally high or abnormally low. In this article, we first describe a few variables that have the ability to predict near-term bond market performance.

Journal Article

Does Duration Extension Enhance Long-Term Expected Returns?

In the past, investors have been rewarded for extending the duration of their fixed income holdings when the yield curve is upward sloping, but have not been rewarded (or have even been punished) when the curve is inverted.

Data Set

Credit Risk Premium: Preliminary Paper Data

This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.

Working Paper

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.

Working Paper

Financing Investment With Long-Term Debt and Uncertainty Shocks

This paper proposes a model of financing and investment for firms that attempts to explain both the weak correlation of Tobin’s Q with investment, and the higher correlation of bond yields with investment.

Working Paper

A Reduced Form CoCo Model With Deterministic Conversion Intensity

Some financial institutions issue contingent convertible bonds to cushion their capital reserves in times of crisis. This paper builds a contingent convertible bond model with a minimum of stochastic factors that can be calibrated to market prices of related securities.

Working Paper

Asset-Measurement Uncertainty and Credit-Term Structure

Studying the spike in financial market volatility in 2007, this paper tests whether credit investors’ uncertainty about a company’s asset values affects short-term credit spreads and the underlying credit term-structure.

Alternative Thinking

Inversion Anxiety: Yield Curves, Economic Growth, and Asset Prices

We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.