What are the risks?
- Hull, J., M. Predescu, and A. White, 2004. “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements.” Journal of Banking and Finance 28, pp.2789–2811.
- Kamin, Steven, and Karsten von Kleist, 1999. “The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s.” Working paper No. 68, Bank for International Settlements.
- Korn, O., and C. Koziol, 2006. “Bond portfolio optimization: A risk-return approach.” Journal of Fixed Income 15 (4):pp. 48–60.
- Lloyd, W. T., and B. K. Manium, 2004. “Portfolio strategies for outperforming a benchmark.” In Handbook of European fixed income securities, ed. F. Fabozzi. Hoboken, N. J.: John Wiley & Sons.
- Longstaff, F., S. Mithal, and E. Neis, 2005. “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.” Journal of Finance 60, pp. 2213- 2254.
- Longstaff, Francis A., Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton, 2011. “How Sovereign is Sovereign Credit Risk?” American Economic Journal: Macroeconomics, forthcoming.
- Meindl, P. J., and J. Primbs, 2006. “Corporate bond portfolio optimization with transaction costs.” Working paper, Stanford University.
- Nielsen Jens Dick, Peter Feldhutter, David Lando, 2011. “Corporate bond liquidity before and after the onset of the subprime crisis.” Journal of Financial Economics 103 (2012) pp.471–492
- Pan, Jun, and Kenneth J. Singleton, 2008. “Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads.” Journal of Finance 63, pp.2345-2384.
- Reilly, F., and D. J. Wright, 1996. “Bond market indices.” In Handbook of fixed income securities, ed. F. Fabozzi. New York: McGraw-Hill.
- Reinhart, C and K Rogoff, 2010. “This time is different.” Princeton University Press
- Remolona, Eli, Michela Scatigna, and Eliza Wu, 2008. “The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion.” Journal of Fixed Income 17, pp.57-71.
- Remolona. Eli, Michela Scatigna, Eliza Wu, 2007. “Interpreting Sovereign Spreads.” BIS Quarterly Review, March 2007.
- Sangvinatsos, A., 2010. “Strategic allocation: The role of corporate bond indices?” Working paper, University of Southern California.
- Siegel, L. B., 2003. “Benchmarks and investment management.” The Research Foundation of the Association for Investment Management and Research, Charlottesville, Virginia.
- Siegel, L. B., F. J. Enderle, and B. Pope, 2003. “Broad-capitalization indexes of the U.S. equity market.” Journal of Investing 12 (1): pp. 11–22.
- Tang, Dragon Yongjun and Yan, Hong, Liquidity and Credit Default Swap Spreads, 4 September 2007. AFA 2007 Chicago Meetings Paper; EFA 2008 Athens Meetings Paper.