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Working Paper

Sustainable Systematic Credit

Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.

Journal Article

The Cross Section of MBS Returns

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security returns. Its key feature is that prepayment risks appears to be priced by specialized MBS investors. We find convincing evidence that the price of prepayment risk changes sign over time with the sign of a representative MBS investor's exposure to prepayment shocks.