a consol then agents' portfolios exhibit two-fund separation. However, if agents can trade only a one-period bond, this … that destroy the optimality of two-fund separation in economies with a one-period bond and result in different equilibrium …

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use … particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly …

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 …

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling … estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique … the conditional distribution of excess bond returns is affected by a state variable that does not lie in the span of the …

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong … predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy … bond return of 1.03% in excess of the risk free rate. Returns based on this strategy are statistically highly significant …