In this paper, we estimate and interpret the factors that jointly determine bond returns of
different maturities in the US, Germany and Japan. We analyze both currency-hedged and …

Managing natural hazards such as land subsidence (LS) is important because they cause
large economic and human loss. LS has become a significant challenge in South Korea due …

Performance persistence studies typically suffer from ex-post conditioning biases. As
stressed by Carhart [Carhart, MM, 1997. Mutual Fund Survivorship, Working Paper, Marshall …

This paper uses a bivariate GARCH framework to examine the lead‐lag relations and the
conditional correlations between 10‐year US government bond returns and their …

This paper assesses the incremental diversification benefits to US investors from investing in
international government bonds. In light of suggestions that these benefits have fallen …

Many foreign-bond portfolio managers use weighted average to aggregate portfolio
duration. The underlying assumptions of this practice are that foreign and domestic interest …

The objective of shareholder wealth maximization means that interest rate risk management
will focus on the sensitivity of the market value of equity to interest rate movements. This is …

The movements of domestic term structures of interest rates are commonly assumed to be
driven by a small number of factors, usually obtained from a principal component analysis. In …

Investors in the emerging market debt market are exposed to a number of different types of
risk, most importantly market risk. This article introduces a risk metric called beta spread …

This paper investigates common factors that jointly determine bond returns acrosscountries.
We study how risk factors deriving bond prices influences exchange rates and we test if …