volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992 …The study investigated both the January effect and the "sell-in-May-and-go-away" anomaly in government bond returns. It …-2016 proved that both the bond returns and factor premia had remained unaffected by the January and "sell-in-May" effects. These …

. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically …, bond rates have been persistently negative after the Lehman-Brothers collapse. To explain this paradox, we suggest that, in …, this rise in perceived market fragility alone can explain the drop in both bond rates and price-dividend ratios observed …

-based structure. Liquidity conditions for EFSF bonds in the secondary market are different from those of large sovereign bond issuers …, which affects bond pricing. This paper offers the first study of the term structure of EFSF bond yields and a decomposition …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government … bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable … further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is …

Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …