If equity and corporate bond markets are integrated, risk premia in one market should
appear in the other, and their magnitudes should be consistent with each other. We use this …

This paper investigates the application of factor investing in corporate bonds. Our results
show that proficiency in the drivers of risk and return, the factors, should be used for bottom …

We investigate and improve momentum spillover from stocks to corporate bonds, ie the
phenomenon that past winners in the equity market are future winners in the corporate bond …

Since the 1980s, prospect theory has been considered as the most successful descriptive
theory for decision making. In this paper, we examine the predictive power of prospect …

The authors investigate the phenomenon that past winners in the stock market are potential
future winners in the European bond market. By using a data set of EUR-denominated …

Interest rate changes typically affect equity values. However, if investors react slowly, the
repricing may stretch over time. Using a century of data from sixty countries, we demonstrate …

The current study aims to investigate the relationship between stock liquidity risk and
financial information quality criteria (ie the timely dividends announcement, accruals quality …

This paper analyzes the factors that contribute to the government obligations yield to
maturity on the EU and US markets. Both, the bond characteristics and macroeconomic …

The purpose of this paper is to determine the liquidity spillover effects of trades executed in
European sovereign bond markets and to assess the driving factors behind the magnitude of …

This paper investigates bond momentum by exploiting all trend signals in the short-,
intermediateand long-term simultaneously. Using this informationally efficient strategy, we …