Political risk relates to both the ability and the willingness of governments to repay debts.
We find that bond prices only slowly adapt to changes in political risk. The expected bond …

Bond carry is the expected return on a bond when the yield curve does not change. The
curve carry strategy within each country constructs buckets based on bond maturities on a …

Excess bond returns in developed markets are predictable using factors like bond momentum,
equity momentum and term spread. We show the same factors can also predict emerging …

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed
income market by constructing long-short combinations of two at-the-money straddles for …

Merton's structural model for sovereigns is proven to be useful to analyze the default risk of
a country. We are the first to investigate how fast CDS spreads react to changes in model …

We build on the work of Wright and Zhou (2009) who show that the average jump mean in
bond prices can predict excess bond returns, capturing the countercyclical behaviour of risk …

This dissertation presents evidence of five studies showing that sovereign fixed income
markets are not always price efficient. The emerging local currency debt market has grown to a …

With writing this Master thesis comes an end to my life as a lazy student. At the same time it
marks the start of a new life. Studying has been sometimes exiting and enlightening, …

We investigate two yield curve strategies: Curve carry selects bond maturities based on
carry and betting-against-beta always selects the shortest maturities. We investigate these …

… Second, I want to thank Johan Duyvesteyn and Martin Martens for the opportunity that they
… I think that I could not have wished for a better coach than Johan. Finally, I want to thank my …