Fixed income and structured finance
- Factor Investing in Sovereign Bond Markets: Deep Sample EvidenceGuido Baltussen, Martin Martens and Olaf PenningaThe Journal of Portfolio Management November 2021, jpm.2021.1.311; DOI: https://doi.org/10.3905/jpm.2021.1.311
- Investing in US Core Fixed Income with Macro and Style FactorsEugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew AngThe Journal of Portfolio Management November 2021, jpm.2021.1.309; DOI: https://doi.org/10.3905/jpm.2021.1.309
- Direct Lending: Evidence from European and US MarketsLaura Fritsch, Wayne Lim, Alexander Montag and Martin C. SchmalzThe Journal of Alternative Investments December 2021, jai.2021.1.150; DOI: https://doi.org/10.3905/jai.2021.1.150
- Zero Black-Derman-Toy Interest Rate ModelGrzegorz Krzyżanowski, Ernesto Mordecki and Andrés SosaThe Journal of Fixed Income November 2021, jfi.2021.1.122; DOI: https://doi.org/10.3905/jfi.2021.1.122
- The Primary Market Process for Fixed Income Exchange-Traded Funds Under Market StressSamara Cohen, Stephen Laipply, Ananth Madhavan and James MauroThe Journal of Fixed Income November 2021, jfi.2021.1.126; DOI: https://doi.org/10.3905/jfi.2021.1.126
- Occam’s Razor for Bond Trade CostsVlad Rashkovich and Andrei IogansenThe Journal of Fixed Income November 2021, jfi.2021.1.125; DOI: https://doi.org/10.3905/jfi.2021.1.125
- Cross-Sectional and Time-Series Momentum in the US Sovereign Bond MarketLionel Martellini, Riccardo Rebonato and Jean-Michel MaesoThe Journal of Fixed Income November 2021, jfi.2021.1.127; DOI: https://doi.org/10.3905/jfi.2021.1.127
- Euro Zone Sovereign Default Risk and Capital—A Bayesian ApproachRainer Jobst and Daniel RöschThe Journal of Fixed Income November 2021, jfi.2021.1.124; DOI: https://doi.org/10.3905/jfi.2021.1.124
- The Low-Volatility Anomaly, Interest Rates, and the Canary in a Coal MineEdward Qian and Wayne QianThe Journal of Portfolio Management July 2017, 43 (4) 44-53; DOI: https://doi.org/10.3905/jpm.2017.43.4.044
- Equity Momentum in European CreditsHendrik Kaufmann and Philip MessowThe Journal of Fixed Income June 2020, 30 (1) 29-44; DOI: https://doi.org/10.3905/jfi.2020.1.097
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