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Data Set

Credit Risk Premium: Preliminary Paper Data

This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.

Podcast

Interest Rate Limbo

We investigate why investors might want bonds in their portfolios, even in a low-yield environment.

Perspective

Fixed Income Fantasies

Active fixed income managers have had a really good run in recent decades, but is this success due to skill? We found that there is less alpha than people think due to long-term overweight to credit. But there is hope, and we explain why.

Perspective

Repurchases are the Devil’s Work! (not…)

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.

Focus

Systematic Fixed Income: Introduction

Systematic fixed income takes a rigorous, repeatable approach to investing in bonds.

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

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

Time-Varying Expected Returns in International Bond Markets

A growing body of literature describes predictable variation in U.S.

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

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.