This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of … contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond … funds and government bond funds are more likely to spread distress to other fund categories than HY, EM and loan funds. When …

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. …