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Systematic Fixed Income: Introduction
October 9, 2018
Systematic fixed income takes a rigorous, repeatable approach to investing in bonds.
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.
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
The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds
August 1, 2016
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
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
Beyond Basis Basics: Leverage Demand and Deviations from the Law of One Price
February 7, 2020
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
January 15, 2017
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
March 3, 2014
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
April 5, 2011
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
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.