Corporate bond returns in major developed economies increase with lower ratings and higher residual maturity. The performance of various factor models featuring corporate, sovereign and equity markets as factors suggests that the corporate bond factor plays a dominant role in explaining the...

Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the return on variance swaps. We characterize the exposures of returns on equities, bonds and currencies in all regions of the world to U.S. based equity variance risk. We explore...

We decompose 5 year nominal bond yields into real and inflation components in an international context using inflation-linked and nominal bonds. Real rate variation dominates the variation in inflation-linked and nominal yields, but liquidity and inflation risk premiums are also important....

We document strong global commonality in firm-level and aggregate idiosyncratic return variances across 23 developed markets, and develop a rational pricing model to explain the empirical pattern. We find that the global common factor of idiosyncratic return variances is highly correlated with...