In the context of forming equity momentum portfolios, the authors examine whether
corporate bond prices contain information that equity prices do not fully reflect. Using a …

This paper analyzes how reputational shocks and regulatory reforms have affected the value-
relevant information content of rating adjustments announced by the main Credit Rating …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

Quantitative techniques have long been used to measure and control risk in credit portfolios.
More recently, interest has grown in a systematic approach to generating alpha in credit …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

The paper examines the effect of Environment, Social & Governance (ESG) on bonds that
are rated investment grade at issue and subsequently downgraded to high yields (fallen …

This work examines the impact on the price of corporate bonds denominated in Euro of a
downgrade to high yield announced by Standard & Poor's and/or Moody's Investors Service …

Equity markets are amongst the most researched areas in asset pricing literature. Data
availability and the liquid and transparent nature of equity markets have aided research in …

In the last decade, Swedish commercial real estate companies have increased their
presence on the corporate bond market significantly. The real estate companies now …

This paper investigates the effect of rating-based portfolio restrictions that many institutional
investors face on the trading of their bond portfolios. Formal regulations and informal …