Publications

SSRN

18 Oct 2013
Working Paper Summaries

Monetary Policy Drivers of Bond and Equity Risks

Keywords: by John Y. Campbell, Carolin E. Pflueger & Luis M. Viceira

12 Jan 2017
News

Bond Covenants and Skeptic Skepticism

15 Jun 2012
Working Paper Summaries

Reaching for Yield in the Bond Market

Keywords: by Bo Becker & Victoria Ivashina

July 2006
Supplement

Citigroup: Euro Zone Bond Trading (C)

By: Lynn S. Paine, Christopher Bruner and Aldo Sesia

Keywords: Bonds; Financial Services Industry; Europe

Reaching-for-yield — the propensity to buy riskier assets in order to achieve higher yields — is believed to be an important factor contributing to the credit cycle. This paper analyses this phenomenon in the corporate bond market. Specifically, we show evidence for... View Details

02 Aug 2021
News

Why Bond Funds May Be Riskier than They Seem

2017
Article

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

By: John Y. Campbell, Adi Sunderam and Luis M. Viceira

The covariance between U.S. Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953–2009, it was unusually high in the early 1980s and negative in the 2000s, particularly in the downturns of... View Details

Keywords: Inflation and Deflation; Bonds; Interest Rates; Investment Return; Risk Management

February 2023
Technical Note

Bond Analysis: Yield to Maturity

By: Emily R. McComb

Educators

December 2000
Supplement

Harvard Management Company & Inflation-Protected Bonds

By: Luis M. Viceira

Spreadsheet to (9-201-053). Download only. View Details

June 2012
Article

Comovement and Predictability Relationships Between Bonds and the Cross-Section of Stocks

By: Malcolm Baker and Jeffrey Wurgler

Government bonds comove more strongly with bond-like stocks: stocks of large, mature, low-volatility, profitable, dividend-paying firms that are neither high growth nor distressed. Variables derived from the yield curve that are already known to predict returns on... View Details

Keywords: Relationships; Bonds; Stocks; Investment Return; Cash Flow; Quality; Risk and Uncertainty; Forecasting and Prediction; Profit

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October 1972
Article

A Dynamic Model for Bond Portfolio Management

By: D. B. Crane and S. P. Bradley

Keywords: Bonds; Investment; Management

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24 Feb 2011
Working Paper Summaries

Issuer Quality and Corporate Bond Returns

Keywords: by Robin Greenwood & Samuel G. Hanson

July 2006
Supplement

Citigroup: Euro Zone Bond Trading (D)

By: Lynn S. Paine, Christopher Bruner and Aldo Sesia

Keywords: Bonds; Financial Services Industry; Europe

November 2003
Article

The Maturity of Debt Issues and Predictable Variation in Bond Returns

By: Malcolm Baker, Robin Greenwood and Jeffrey Wurgler

The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term... View Details

Keywords: Borrowing and Debt; Bonds; Investment Return; Financial Markets; Forecasting and Prediction

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October 2003 (Revised December 2003)
Case

STMicroelectronics N.V., 2003 Convertible Bond Offering

By: William E. Fruhan Jr.

Focuses on the valuation of a complex option embedded in a convertible debenture with a negative yield to maturity. View Details

Keywords: Bonds; Valuation

Educators

April 2004
Tutorial

Yield Curves and Bond Ratings Tutorial

By: William E. Fruhan Jr.

To preview this online product, Authorized Faculty can call our customer service department at 1-800-545-7685 or 617-783-7600. This online tutorial explains what drives the shape of the yield curve for traded debt securities. Also describes the metrics used by rating... View Details

Keywords: Bonds; Investment Return; Financial Services Industry