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. …

be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data … for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices …

Bond laddering and bond indexing have been widely accepted approaches to bond investing among retail investors. However …, bond laddering has virtually been ignored in both the academic literature and most of the popular investment textbooks. One …

equity term structure cyclicality and the upward sloping bond term structure …

-free rate, and the yield curve. In particular, the bond price decreases with the average belief and, in most situations, tends … belief dispersion also leads to higher bond volatility. In addition, the model nests the CIR model with time …

The underlying stochastic processes that drive returns in several emerging bond and stock markets are investigated … information surprises in emerging stock and bond markets are also investigated. Bond and stock returns of the same country exhibit … simultaneous jumps, indicating a possible linkage of the two markets. U.S. equity returns respond to jumps in emerging bond markets …

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could …-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging …