- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Podcast
Interest Rate Limbo
September 12, 2018
We investigate why investors might want bonds in their portfolios, even in a low-yield environment.
Data Set
Credit Risk Premium: Preliminary Paper Data
February 27, 2018
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
August 13, 2019
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
December 8, 2017
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…)
December 7, 2017
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
November 18, 2016
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
February 1, 2007
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
April 20, 2013
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
November 10, 2015
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
February 6, 2012
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.