The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity … betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply …

Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up …

banks had a large impact on exposed bonds’ liquidity. Moreover, based on these ties, we show that bond mutual fund panic …

Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the … and Eurozone risk) on Government bond returns, in the two groups of countries (EMU and non-EMU) in EU-15. Our empirical … evidence suggests that the impact of the introduction of the euro on the degree of integration of European Government bond …