Political risk relates to both the ability and the willingness of governments to repay debts. We find that bond prices only slowly adapt to changes in political risk. The expected bond returns for countries whose political risk ratings have improved are higher than those for countries whose...

We examine the predictability of government bond returns using a deep sample spanning 70 years of international data across the major bond markets. Using an economic, trading-based testing framework we find strong economic and statistical evidence of bond return predictability with a Sharpe...

We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...

In this paper we make a distinction between systemic co-jumps and independent idiosyncratic jumps, and examine the impact of their mis-specification on asset allocation. We discuss how jumps mis-specification may lead to jumps mis-estimation and to a suboptimal portfolio. Specifically, we...