We define and construct a credit-implied volatility (CIV) surface from the firm-by-maturity
panel of CDS spreads. We use this framework to organize the behavior of corporate credit …

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 …

I study the returns of portfolios of credit default swaps (CDS) of different maturities, leveraged
to have the same risky durations. I find that average returns decrease with maturity. This …

We offer several suggestions for researchers using corporate bond return data. First, despite
clear instructions from older papers (eg, Bessembinder et al., The Review of Financial …

Style investing has become part of the investing nomenclature for equity markets. To date,
despite the massive size of fixed income markets, little research has examined the efficacy of …

We propose a conditional factor model for corporate bond returns with five factors and time‐varying
factor loadings. We have three main empirical findings. First, our factor model excels …

Extensive research has explored the style exposures of actively managed equity funds. We
conducted an exhaustive set of return-based and holdings-based analyses to understand …

Across multiple measures of “liquidity” and a variety of methods to control for correlated
characteristics of more (less) liquid bonds, we find only limited evidence of a liquidity premium in …

A incontinência urinária, assim como o prolapso genital, é afecção que traz sérias repercussões
à qualidade de vida da mulher, modificando-a nos aspectos sociais, emocionais e …

Liquidity is considered to be an important risk factor for corporate bond investors, especially
in an economically stressful environment. We begin this issue of The Journal of Fixed …