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Systematic Fixed Income: Introduction

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

Perspective

Bonds Are Frickin' Expensive

When something as important as the U.S. bond yield hits historical extremes, it’s worth at least a discussion. Cliff examines the long-term relationships between real bond yields, real T-bill yields, the slope of the yield curve, and economic conditions.

Working Paper

Corporate Bond Specialness

The U.S. bond market is a well-understood source of corporate financing, but research on its cash and lending markets is limited. Using a dataset of corporate bond-lending transactions, we shed light on drivers of shorting activity and shorting costs.

Working Paper

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.

Journal Article

Asset Volatility

We aim to bring a better understanding of credit risk, by investigating whether combining market- and accounting-based measures of asset volatility generates a superior measure of total asset volatility.

Working Paper

Beyond Basis Basics: Leverage Demand and Deviations from the Law of One Price

Bases are driven by intermediaries’ cost of capital and the amount of leverage demand for an asset. Focusing on leverage demand, we find bases negatively predict futures and spot market returns with the same sign in both global equities and currencies.

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

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.

Working Paper

Asset-Measurement Uncertainty and Credit-Term Structure

Studying the spike in financial market volatility in 2007, this paper tests whether credit investors’ uncertainty about a company’s asset values affects short-term credit spreads and the underlying credit term-structure.

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.