Effective government policies may reduce uncertainty in sovereign bond markets. Can policy
responses help to curb bond market volatility during the COVID-19 pandemic? To answer …

We offer empirical evidence that size, low-risk, value, and momentum factor portfolios
generate economically meaningful and statistically significant alphas in the corporate bond …

We find that four well-known characteristics (carry, defensive, momentum and value) explain
a significant portion of the cross-sectional variation in corporate bond excess returns. These …

High-risk stocks do not have higher returns than low-risk stocks in all major stock markets.
This article provides a comprehensive overview of this low-risk effect, from the earliest asset …

In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility
indices to estimate the time-frequency information transmission among financial markets …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

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 provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Volatility risk, credit risk, value effect, and momentum are major return drivers in the fixed-
income universe. This study offers a four-factor pricing model for international government …

The study investigated both the January effect and the “sell-in-May-and-go-away” anomaly
in government bond returns. It also tested whether the two seasonal patterns impact the …