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Journal Article

Style Investing in Fixed Income

March 15, 2018 - Jordan Brooks Diogo Palhares Scott A. Richardson

A disciplined, systematic approach to over-/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities but also within fixed income markets.

Journal Article

(Il)liquidity Premium in Credit Markets: A Myth?

March 8, 2018 - Scott A. Richardson Diogo Palhares

Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.

Journal Article

Common Factors in Corporate Bond and Bond Fund Returns

March 1, 2018 - Diogo Palhares Scott A. Richardson

This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.

Working Paper

Credit Implied Volatility

March 10, 2015 - Bryan T. Kelly Gerardo Manzo Diogo Palhares

This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.

Working Paper

Cash-Flow Maturity and Risk Premia in CDS Markets

November 12, 2014 - Diogo Palhares

We study the risk adjusted returns of credit default swaps of different maturities to learn more about the impact of higher sensitivities to credit fundamentals.