correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …

correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …

correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …

correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …

correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …