Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible … variables. Moreover, the most challenging problem in convertible bond valuation is the underlying stock return process modeling … real-world convertible bond specifications compared with previous model-driven models. The experiments on the Chinese …

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …