corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data … for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices …

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …

sovereign bond. …

By the 1990s, basis risk had caused bond markets, like money markets before them, to start shifting from the use of … that interest rate swaps continue to gain on government bond futures for hedging and positioning at the long end of the … bond rates as benchmarks …

article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads … period extends from January 1997 to August 2014. In the VAR models, speculative bond spreads and consumer confidence index … period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets. …

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …