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Journal Article
Dynamics of the Shape of the Yield Curve
September 1, 1997
In this article, we examine two broad questions about yield-curve behavior: How to interpret the steepness and curvature of the curve on a given day? And how does the yield curve evolve over time? Yield curve shape reflects the market’s rate expectations, required bond risk premiums, and convexity bias.
Journal Article
Euro Swap Spreads
September 1, 2004
The Euro swaps market is among the largest financial markets in the world.
Journal Article
Does Duration Extension Enhance Long-Term Expected Returns?
September 1, 1996
In the past, investors have been rewarded for extending the duration of their fixed income holdings when the yield curve is upward sloping, but have not been rewarded (or have even been punished) when the curve is inverted.
Journal Article
When Do Bond Markets Reward Investors for Interest Rate Risk?
December 1, 1996
Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.
Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
An empirical study examines the consistency of rewards for bearing various types of risks in U.S.
Journal Article
How Well Does Duration Measure Interest Rate Risk?
March 1, 1992
Fixed-income managers use duration to measure the risk of their portfolios.
Journal Article
Pronounced Momentum Patterns Ahead of Major Events
March 1, 2003
Many financial asset measures exhibit a weak continuation tendency.
Journal Article
The Value Of Duration as a Risk Measure for Corporate Debt
June 1, 1994
Duration is the primary risk measure for fixed-income portfolio managers.
Journal Article
Time Variation in the Equity Risk Premium
January 1, 2011
The equity risk premium (ERP) refers to the expected (and sometimes realized) return of a broad equity index in excess of some fixed-income alternative.