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Journal Article
Dynamics of the Shape of the Yield Curve
September 1, 1997
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
September 1, 2004
The Euro swaps market is among the largest financial markets in the world.
Alternative Thinking
Inversion Anxiety: Yield Curves, Economic Growth, and Asset Prices
September 12, 2019
We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.
Journal Article
Value Investing in Credit Markets
September 3, 2012
In this paper we outline an approach to make use of accounting and market based information to forecast corporate default.
Journal Article
When Do Bond Markets Reward Investors for Interest Rate Risk?
December 1, 1996
Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.
Alternative Thinking
The Illusion of Active Fixed Income Diversification
December 7, 2017
We examine popular active fixed income categories and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.
Journal Article
Common Factors in Corporate Bond and Bond Fund Returns
March 1, 2018
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.
Journal Article
How Well Does Duration Measure Interest Rate Risk?
March 1, 1992
Fixed-income managers use duration to measure the risk of their portfolios.
Journal Article
On the Distribution of Financial Futures Price Changes
September 1, 2004
Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.