fixed-income

The seminal paper Robert Litterman, José Scheinkman (1991) Common Factors Affecting Bond Returns. Journal of Fixed Income, 1, 54-61. https://doi.org/10.3905/jfi.1991.692347 used the history of daily changes in observable par rates. Some people prefer to bootstrap & convert to zero/spot rates. What are the advantages/disadvantages of each approach, abd are there are any choices that one should co…

In emerging markets, some yield curves have observable rates only at a limited set of tenors, for example: 5Y and 10Y, and no quotes between them. But even in developed markets we observe 7Y and 8Y swap rates, and when we need a discount factor for a date with no directly observable quote, for example, 7.5 years, then we need to choose some interpolation/extrapolation method. Decades ago, everyon…

Abstract The paper re-examines the principle of the bird-in-hand under the dynamic situation in the emerging spots market in Pakistan. Our sample consisted of 100 KSE—100 companies dating 2009–2024. The abnormal returns are separated out using an event study model and a rolling window version of the CAPM, and we have constructed a new Dividend Announcement Factor (DAF) to capture systematic varia…

Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01. Thanks!

This study examines and analyzes the effect of the capital adequacy ratio and loan-to-deposit ratio on return on assets in the context of green banking, specifically for banking companies listed on the Indonesia Stock Exchange (IDX) during the 2022-2024 period. This study aims to provide empirical evidence on how financial performance indicators, particularly the capital adequacy ratio and liquid…

Ordinarily, the carry of a bond is computed by keeping 'everything fixed', but moving the bond in time, and then repricing it. However, say there is a certain probability of the bond defaulting. During the carry period, the bond may default with that probability. Therefore, we ought to remove this probability of default (adjusted for loss given default). After all, if you do not do this, you are …

SummaryThis technical note examines the predictive power of SIRRIPA (Stock Internal Rate of Return Including Price Appreciation) using 27 comparable Japanese technology and electronics stocks ranked as of December 23, 2025. Comparing initial SIRRIPA levels with subsequent stock performance over approximately 4.5 months, the analysis finds a positive and economically meaningful relationship. Cross…

This study examines whether seasonal mood fluctuations that are driven by reduced daylight exposure in fall and winter months affect how retail investors respond to market risk. The study uses daily stock-level data from the Nasdaq Retail Trading Activity Tracker (RTAT) from 2016–2026. The study tests whether the relationship between market volatility (VIX) and retail investor sentiment (RTAT) di…

This study compares the Single Index Model and the Black-Litterman model in forming an optimal stock portfolio on a fixed sample of recurrent IDX30 constituents in order to assess differences in portfolio composition, return, risk, and risk-adjusted performance in the Indonesian capital market. This study compares the Single Index Model and the Black-Litterman model in forming an optimal stock po…

If an asset manager has multiple extended warehouse lines outstanding and each one is currently callable (some with penalties, some without), is it simply the case that a ‘to first call’ performance scenario (for instance, for yield to first call analyses) across the portfolio would show every single line paying off tomorrow?

This study aims to analyze the performance dynamics of commercial banks in Indonesia based on KBMI1, KBMI2, KBMI3, and KBMI4 groups using a dynamic panel Error Correction Model (ECM) approach. The data used consist of monthly panel data covering the period from June 2025 to January 2026. The ECM model is employed to examine both short-term and long-term relationships among variables affecting ban…