Recently, there has been a fast-growing literature on the determinants of corporate bond
returns, in particular, the driving force of cross-sectional return variation. In this review, we …

I review the literature on equity market momentum, a seminal and intriguing finding in
finance. This phenomenon is the ability of returns over the past one to four quarters to …

Green bonds are a financial tool that has been vigorously promoted in the global green
finance field in recent years. Since 2013, the global issuance of green bonds has seen …

We provide a broad empirical investigation of momentum strategies in the foreign exchange
market. We find a significant cross-sectional spread in excess returns of up to 10% per …

This article examines the pricing of a firm's carbon risk in the corporate bond market.
Contrary to the “carbon risk premium” hypothesis, bonds of more carbon-intensive firms earn …

Our paper re-examines the profitability of relative strength or momentum trading strategies
(buying past strong performers and selling past weak performers). We find that standard …

This paper documents significant momentum in a comprehensive sample of 81,491 US
corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum …

This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the
period from January 1994 to March 2009. The average return on bonds with high …

Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …

This paper analyzes the existence of flights from stocks to bonds and vice versa. We
propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset …