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

We consider nine different proxies (issued amount, listed, euro, on-the-run, age, missing
prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond …

The paper proposes a new measure of spread exposure for corporate bonds portfolios based
on a detailed analysis of credit spread behavior. We find that changes in spreads are not …

In this paper we compare market prices of credit default swaps with model prices. We show
that a simple reduced form model outperforms directly comparing bonds' credit spreads to …

The purpose of this paper is to examine whether the dynamics of industrial organization differ
in the Netherlands from what has emerged as a Stylized Fact in other countries. Because …

We evaluate the performance of fixed income Exchange Traded Funds (ETFs). We find that
Treasury ETFs are indeed able to track their benchmarks, but that Investment Grade …

… Arik Ben Dor, Lev Dynkin, Jay Hyman, Patrick Houweling, Erik van Leeuwen, and Olaf
Penninga … PATRICK HOUWELING … Houweling@robeco.nl …

Abstract: In this paper we compare market prices of credit default swaps with model prices.
We show that a simple reduced form model with a constant recovery rate outperforms the …

The purpose of this article is to show how institutional and evolutionary economics provide
better insights as to why some firms survive and others do not than does neoclassical …

We investigate and improve momentum spillover from stocks to corporate bonds, ie the
phenomenon that past winners in the equity market are future winners in the corporate bond …