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Journal Article

Dynamics of the Shape of the Yield Curve

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

The Euro swaps market is among the largest financial markets in the world.

Journal Article

Does Duration Extension Enhance Long-Term Expected Returns?

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

What Really Happened to U.S. Bond Yields

Long-term U.S.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.

Journal Article

Which Risks Have Been Best Rewarded?

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?

Fixed-income managers use duration to measure the risk of their portfolios.

Journal Article

Pronounced Momentum Patterns Ahead of Major Events

Many financial asset measures exhibit a weak continuation tendency.

Journal Article

The Value Of Duration as a Risk Measure for Corporate Debt

Duration is the primary risk measure for fixed-income portfolio managers.

Journal Article

Time Variation in the Equity Risk Premium

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.