This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …

the placements of their assets in longer term bonds. Based on realised total bond returns of the major bond markets this … duration extension is limited. The major government bond and US agency markets do reward interest rate risk, but (excess … interest rate risk during this long sample period, he should have invested (more) in bonds up to a maturity of approximately …