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Journal Article

OAS Models, Expected Returns and a Steep Yield Curve

An upward-sloping yield curve indicates that either investors expect rates to rise or they require a higher expected return on longer-term securities.

Journal Article

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

In this paper, we construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity.

Journal Article

Market Rate Expectations and Forward Rates

Three main forces determine the term structure of forward rates: the market’s rate expectations; required bond risk premia; and the convexity bias.

Journal Article

The Credit Risk Premium

Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors of this paper find what they characterize as strong evidence of credit risk premium after correctly adjusting for term risk.

Journal Article

Buyback Derangement Syndrome

Winner of an “Outstanding Article” award in the 20th Annual Bernstein Fabozzi/Jacobs Levy Awards. A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.

Journal Article

Asset Reliability and Security Prices Evidence From Credit Markets

This paper explores the relation between the reliability of an enterprise’s accounting and its security prices.

Journal Article

Credit Markets and Financial Information

Lakshmanan Shivakumar, Oktay Urcan, Florin P.

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.

Chief Investment Quarterly

Not Expecting to Hit Your Expected Return? Cash Is the Culprit

Today’s lower return targets for pension plans are actually harder to reach. Here’s why.