Patrick Dugnolle scite author profile

Patrick Dugnolle

5Publications

8Citation Statements Received

16Citation Statements Given

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Affiliations

BNP Paribas (France)

Publications

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Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets

Carvalho¹,

Dugnolle²,

Lu³

et al. 2014

JFI

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Analysis of portfolios formed with corporate high yield bonds in BofA Merrill Lynch indices ranked by DTY. January 2000 to December 2012. Monthly rebalancing. Value-weighted portfolios. All maturities, except for GBP bonds where maturity is capped at 15 years. 1 = lowest DTY. 5 = highest DTY. Δ(1-5) is the difference between statistics for #1 and #5 quintile portfolios.Analysis of portfolios formed with sovereign bonds in BofA Merrill Lynch indices ranked by DTY. January 1997 to December 2012. Monthly rebalancing. Value-weighted portfolios. All maturities. 1 = lowest DTY. 5 = highest DTY. Δ(1-5) is the difference between statistics for #1 and #5 quintile portfolios.

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Diversify and Purify Factor Premiums in Equity Markets * *The views and opinions expressed herein are those of the authors and do not necessarily reflect the views of BNP Paribas Investment Partners, its affiliates or employees.

Carvalho

Soupé

et al. 2017

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List of Authors

Ang¹,

Baltas²,

Bass³

et al. 2017

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Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets

Carvalho

Dugnolle

et al. 2013

SSRN Journal

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Is Your Alpha Pure and Your Beta Fit for Purpose?

Dugnolle

Steiner

2019

SSRN Journal

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