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The Investment Performance of Low-Grade Bond Funds

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Cited by:

  1. Henke, Hans-Martin, 2016. "The effect of social screening on bond mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 69-84.
  2. Norden, Lars & Weber, Martin, 2004. "The comovement of credit default swap, bond and stock markets: An empirical analysis," CFS Working Paper Series 2004/20, Center for Financial Studies (CFS).
  3. Carol Alexandra & Jacques Pezier, 2003. "On the Aggregation of Market and Credit Risks," ICMA Centre Discussion Papers in Finance icma-dp2003-13, Henley Business School, University of Reading.
  4. Paulo Pereira Da Silva, 2014. "Sovereign Credit Risk and Stock Markets–Does the Markets’ Dependency Increase with Financial Distress?," IJFS, MDPI, vol. 2(1), pages 1-23, March.
  5. Zhiwei Zhang, 2002. "Corporate Bond Spreads and the Business Cycle," Staff Working Papers 02-15, Bank of Canada.
  6. Rocha, Roberto & Morales, Marco & Thorburn, Craig, 2008. "An empirical analysis of the annuity rate in Chile," Journal of Pension Economics and Finance, Cambridge University Press, vol. 7(1), pages 95-119, March.
  7. Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
  8. Faruk, Balli, 2006. "New Patterns in International Portfolio Allocation and Income Smoothing," MPRA Paper 10121, University Library of Munich, Germany, revised 14 Aug 2008.
  9. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2014. "Mutual fund performance evaluation with active peer benchmarks," Journal of Financial Economics, Elsevier, vol. 112(1), pages 1-29.
  10. Kaplan, Steven N & Ruback, Richard S, 1995. "The Valuation of Cash Flow Forecasts: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 50(4), pages 1059-1093, September.
  11. B. Jirasakuldech & Riza Emekter & Unro Lee, 2008. "Business conditions and nonrandom walk behaviour of US stocks and bonds returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 659-672.
  12. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
  13. Gregory R. Duffee, "undated". "Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis," Finance and Economics Discussion Series 1996-20, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
  14. Delianedis, Gordon & Geske, Robert, 2001. "The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors," University of California at Los Angeles, Anderson Graduate School of Management qt32x284q3, Anderson Graduate School of Management, UCLA.
  15. David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on Shareholders’ Systematic Risk," Sustainability, MDPI, vol. 11(23), pages 1-23, November.
  16. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration.
  17. Guha, Rajiv & Sbuelz, Alessandro & Tarelli, Andrea, 2020. "Structural recovery of face value at default," European Journal of Operational Research, Elsevier, vol. 283(3), pages 1148-1171.
  18. Xanthi Gkougkousi, 2014. "Aggregate Earnings and Corporate Bond Markets," Journal of Accounting Research, Wiley Blackwell, vol. 52(1), pages 75-106, March.
  19. da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2014. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-27.
  20. Gary Gorton & Andrew Metrick, 2010. "Haircuts," Review, Federal Reserve Bank of St. Louis, vol. 92(Nov), pages 507-520.
  21. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.
  22. Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G., 2000. "The determinants of trading volume of high-yield corporate bonds," Journal of Financial Markets, Elsevier, vol. 3(2), pages 177-204, May.
  23. Neu, Werner & Kulenkampff, Gabriele, 2009. "Long-Run Incremental Cost und Preissetzung im TK-Bereich: Unter besonderer Berücksichtigung des technischen Wandels," WIK Discussion Papers 323, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.
  24. Singh, Sandeep & Dresnack, William H., 1997. "Market knowledge in managed municipal bond portfolios," Financial Services Review, Elsevier, vol. 6(3), pages 185-196.
  25. Jing-Zhi Huang & Ying Wang, 2014. "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings," Management Science, INFORMS, vol. 60(8), pages 2091-2109, August.
  26. Jeroen Derwall & Kees Koedijk, 2009. "Socially Responsible Fixed-Income Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 210-229.
  27. Wahyudi, Imam & Robbi, Abdu, 2009. "Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)," MPRA Paper 59883, University Library of Munich, Germany, revised 16 Jul 2010.
  28. Wu, Chunchi & Yu, Chih-Hsien, 1996. "Risk aversion and the yield of corporate debt," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 267-281, March.
  29. Leif Holger Dietze & Oliver Entrop & Marco Wilkens, 2009. "The performance of investment grade corporate bond funds: evidence from the European market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(2), pages 191-209.
  30. Clare, Andrew & Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2021. "How skilful are US fixed-income fund managers?," International Review of Financial Analysis, Elsevier, vol. 74(C).
  31. Dritsakis, Nikolaos & Grose, Christos & Kalyvas, Lampros, 2006. "Performance aspects of Greek bond mutual funds," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 189-202.
  32. Jayen B. Patel & Dorla A. Evans & John E. Burnett, 1998. "Junk Bond Behavior With Daily Returns And Business Cycles," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 407-418, December.
  33. Gallo, John G. & Lockwood, Larry J. & Swanson, Peggy E., 1997. "The performance of international bond funds," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 17-35.
  34. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24/2005, University of Verona, Department of Economics.
  35. Skinner, Frank S., 1998. "Hedging bonds subject to credit risk1," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 321-345, March.
  36. Becchetti, Leonardo & Carpentieri, Andrea & Hasan, Iftekhar, 2009. "The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area," Research Discussion Papers 34/2009, Bank of Finland.
  37. Keith Cuthbertson & Simon Hayley & Dirk Nitzsche, 2016. "Market and Style Timing: German Equity and Bond Funds," European Financial Management, European Financial Management Association, vol. 22(4), pages 667-696, September.
  38. Tolikas, Konstantinos, 2016. "The relative informational efficiency of corporate retail bonds: Evidence from the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 191-201.
  39. Groh, Alexander Peter & Gottschalg, Oliver, 2011. "The effect of leverage on the cost of capital of US buyouts," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2099-2110, August.
  40. Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
  41. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
  42. Gary Gorton & Andrew Metrick, 2010. "Haircuts," Review, Federal Reserve Bank of St. Louis, vol. 92(Nov), pages 507-520.
  43. Groh, Alexander P. & Gottschalg, Oliver, 2009. "The opportunity cost of capital of US buyouts," IESE Research Papers D/780, IESE Business School.
  44. Leonardo Becchetti & Andrea Carpentieri & Iftekhar Hasan, 2012. "Option†Adjusted Delta Credit Spreads: a Cross†Country Analysis," European Financial Management, European Financial Management Association, vol. 18(2), pages 183-217, March.
  45. Lipton, Amy F. & Kish, Richard J., 2010. "Robust performance measures for high yield bond funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 332-340, August.
  46. Laleh Samarbakhsh & Meet Shah, 2021. "Fixed income mutual fund performance during and after a crisis: a Canadian case," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 654-676, October.
  47. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
  48. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
  49. Christian Klein & Christoph Stellner, 2014. "The systematic risk of corporate bonds: default risk, term risk, and index choice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 29-61, February.
  50. Domian, Dale L. & Reichenstein, William, 1997. "Performance and persistence in money market fund returns," Financial Services Review, Elsevier, vol. 6(3), pages 169-183.
  51. Young, Martin & Hogan, Warren & Batten, Jonathan, 2004. "The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 13-25.
  52. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
  53. Martin Rohleder, 2015. "The Relation between Past Flows and Future Performance: Simple Investment Strategies in the Mutual Fund Sector," IJFS, MDPI, vol. 3(1), pages 1-28, February.
  54. Annaert, Jan & De Ceuster, Marc J. K. & Van Hyfte, Wim, 2005. "The value of asset allocation advice: Evidence from The Economist's quarterly portfolio poll," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 661-680, March.
  55. Pierides, Yiannos A., 1997. "The pricing of credit risk derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1579-1611, August.
  56. Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  57. Michael J. Alderson & Terry L. Zivney, 1994. "On Computing Bond Returns: The Evaluation Of Low-Grade Debt," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 403-415, September.
  58. Wassim Dbouk & Lawrence Kryzanowski, 2009. "Impact of bond index revisions," Applied Financial Economics, Taylor & Francis Journals, vol. 19(9), pages 693-702.
  59. Becchetti, Leonardo & Carpentieri, Andrea & Hasan, Iftekhar, 2009. "The determinants of option-adjusted delta credit spreads: a comparative analysis of the United States, the United Kingdom and the euro area," Bank of Finland Research Discussion Papers 34/2009, Bank of Finland.
  60. Peter Reichling & Anastasiia Zbandut, 2017. "Costs of capital under credit risk," FEMM Working Papers 170003, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  61. Ephraim Clark & Selima Baccar, 2018. "Modelling credit spreads with time volatility, skewness, and kurtosis," Annals of Operations Research, Springer, vol. 262(2), pages 431-461, March.
  62. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
  63. Lars Norden & Martin Weber, 2009. "The Co†movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis," European Financial Management, European Financial Management Association, vol. 15(3), pages 529-562, June.
  64. Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos, 2015. "M&A operations: Further evidence of informed trading in the CDS market," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 116-130.
  65. David R. Gallagher & Elvis Jarnecic, 2002. "The Performance of Active Australian Bond Funds," Australian Journal of Management, Australian School of Business, vol. 27(2), pages 163-185, December.
  66. repec:zbw:bofrdp:2009_034 is not listed on IDEAS
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