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Podcast

Interest Rate Limbo

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

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.

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.

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.

White Paper

Systematic Credit Investing

This paper aims to increase familiarity of the credit asset class and provide an overview of our approach to systematic credit investing. We introduce credit instruments and outline a framework for understanding sources of credit excess returns.

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

A Reduced Form CoCo Model With Deterministic Conversion Intensity

Some financial institutions issue contingent convertible bonds to cushion their capital reserves in times of crisis. This paper builds a contingent convertible bond model with a minimum of stochastic factors that can be calibrated to market prices of related securities.

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

Financing Investment With Long-Term Debt and Uncertainty Shocks

This paper proposes a model of financing and investment for firms that attempts to explain both the weak correlation of Tobin’s Q with investment, and the higher correlation of bond yields with investment.