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We conjecture that mutual funds with large shares of outstanding bond issues are more inclined to internalize the negative price spillovers of fire sales and thus sell their holdings in those issues, to a lower extent, when they experience redemptions. We provide evidence consistent with this conjecture and further show that ownership concentration limits bonds' exposures to flow-induced fire sales. We exploit variation in negative spillovers arising from the Fed's SMCCF to confirm the economic mechanism and explore our findings' implications for fund performance and fire-sale spillovers to other funds. [ABSTRACT FROM AUTHOR]

On average, stocks have a much higher rate of return than bonds; this has led to research on the equity premium puzzle. Similarly, Bitcoin outperforms stocks; I call this the Bitcoin premium puzzle. I show that standard macroeconomic models predict a low or negative Bitcoin premium. Though Bitcoin is extremely volatile, the model is rejected even when the coefficient of relative risk aversion is above 10. The Bitcoin premium declined after a structural break in late 2013. However, the puzzle is persistent; there has been no downward trend in the premium since. [ABSTRACT FROM AUTHOR]

We propose a conditional factor model for corporate bond returns with five factors and time‐varying factor loadings. We have three main empirical findings. First, our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin. Second, our model recommends a systematic bond investment portfolio whose high out‐of‐sample Sharpe ratio suggests that the credit risk premium is notably larger than previously estimated. Third, we find closer integration between debt and equity markets than found in prior literature. [ABSTRACT FROM AUTHOR]

Purpose: The aim of the article is to examine whether inflation-indexed treasury bonds issued by the Polish Minister of Finance protect investors’ capital against the negative consequences of an increase in the price level. Design/methodology/approach: The condition which has to be met in order to achieve a positive net rate of return in real terms has been established. The historical and current rates of return on investment in the inflation-indexed treasury bonds issued by the Polish Minister of Finance were analysed to check whether they meet this condition. Findings: Own research has shown that in general, operation principle of bonds indexed to inflation should allow the investor to gain protection from negative effects of price changes. Yet, the example of Polish treasury bonds shows that systematic reduction of interest premiums for the subsequent series of issued instruments, changes in the operation principles, negative effect of taxation and materialisation of the defined in article time-shift mismatch risk – in the high-inflation environment results in significantly negative values of the current net rates of return in real terms of the latest series of COI and EDO bonds. This means that these bonds have not protected investors from the negative effects of price increases and loss of purchase power of invested capital. Research limitations/implications: The levels of real rates of return calculated in the way presented in the article, i.e. based on official data of the Statistics Poland, are representative for the entire economy, yet do not have to translate into the same value for the individuals – real rates of return calculated appropriately for the individual investor may vary in both ways and therefore be more or less favourable than presented in the article. Originality/value: The demand for these investment products is increasing, which is surprising in the light of the article’s findings. That may, result from investors’ expectations regarding a decrease in inflation in the coming periods, as well as the fact that, despite the negative profitability in real terms, these instruments can more effectively minimize the real-term losses stemming from inflation than other types of investments of a similar risk level (deposits, savings accounts) what can be furtherly reviewed in the next research. [ABSTRACT FROM AUTHOR]

Purpose: Foreign portfolio investments have continued to play an important role in the world today because investors are more interested in investments that will give them higher returns for their investments. The purpose the study was to establish the effect of foreign portfolio investments and market returns in Kenya. The specific variables studied were foreign equity portfolios, foreign bond portfolios, foreign portfolio of treasury bills and foreign portfolio of exchange traded funds and how they affect the market returns at the NSE20 share index in Kenya. Methodology: The research methodology applied panel regression for inferential findings and Langrage multiplier test done to determine the pooled effect with the aid of STATA 18 software. Secondary data was sourced from the NSE annual reports, CMA bulletins, CBK websites of the respective companies listed in the index for the period between 2013 to 2022. Findings: The study findings indicated a positive and significant relationship of foreign equity portfolios, foreign portfolio of T Bills and foreign portfolio of ETFs with market returns at the NSE20 share index. Conversely, foreign bond portfolio exhibited a negative significant relationship with market returns at the NSE 20 share index. Unique Contribution to Theory, Practice and Policy: The study supported Modern Portfolio Theory(MPT) that suggests that for an investor to maximize returns, an investor will choose from a wide array of portfolios that will suit his needs and risk profiles and Neoclassical Theory of Investment that suggests that investors will take advantage of location differences to profit from arbitrage opportunities and Total portfolio theory that suggests that combination of securities posits a higher performance due to significant diversification benefits linked to a basket of securities. The Modern portfolio theory measuring market return seemed to hold in that it will give an investor an understanding of the most efficient portfolio that will give the largest returns at a given level of risk. The theory was suggested for future related research because it will give an investor a strategy for successful portfolio investments. [ABSTRACT FROM AUTHOR]

The market demand for the Treasury Inflation‐Protected Securities (TIPS) is rather small. This is puzzling, as we show that an agent, who derives utility from real wealth and dynamically invests into multiple asset classes over a 30‐year horizon, incurs a certainty equivalent loss of 1.6% per annum from not investing in inflation‐indexed bonds. However, if the investor suffers from money illusion, the perceived loss is only 0.5% per annum. Furthermore, the perceived loss is totally negligible for an unsophisticated money‐illusioned investor ignoring the time variation of risk premia. Money illusion causes significant portfolio shifts from inflation‐indexed toward nominal bonds, with little effects on equity allocations, contributing to the low market demand for TIPS. [ABSTRACT FROM AUTHOR]