Diogo Palhares

affiliation not provided to SSRN

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 24,758

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24

CROSSREF CITATIONS

14

Scholarly Papers (6)

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1.

Common factors in corporate bond returns

Forthcoming in the Journal of Investment Management
Number of pages: 51 Posted: 13 Mar 2015 Last Revised: 31 Aug 2017
Ronen Israel, Diogo Palhares and Scott A. Richardson
AQR Capital Management, LLC, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 4,962 (2,406)
Citation 19

Abstract:

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corporate bonds, mispricing

2.

Modeling Corporate Bond Returns

Number of pages: 66 Posted: 14 Dec 2020 Last Revised: 27 Aug 2021
Bryan T. Kelly, Diogo Palhares and Seth Pruitt
Yale SOM, affiliation not provided to SSRN and Arizona State University (ASU) - Finance Department
Downloads 2,371 (8,334)
Citation 1

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corporate bond, factor model, bond portfolio, credit risk, IPCA

3.

Credit-Implied Volatility

Number of pages: 47 Posted: 11 Mar 2015 Last Revised: 05 Jun 2019
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
Yale SOM, Kepos Capital and affiliation not provided to SSRN
Downloads 1,765 (13,411)
Citation 10

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CDS, credit risk, implied volatility

4.

(Il)liquidity Premium in Credit Markets: A Myth?

Journal of Fixed Income, Forthcoming
Number of pages: 45 Posted: 06 Mar 2018 Last Revised: 30 Aug 2018
Diogo Palhares and Scott A. Richardson
affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 1,242 (22,933)
Citation 3

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corporate bonds, liquidity, risk premium

5.

Style Investing in Fixed Income

Journal of Portfolio Management, Forthcoming
Number of pages: 36 Posted: 06 Mar 2018
Jordan Brooks, Diogo Palhares and Scott A. Richardson
AQR Capital Management, LLC, affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 1,164 (25,211)
Citation 3

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fixed income, style investing, government bonds, corporate bonds

6.

Looking under the Hood of Active Credit Managers

Financial Analysts Journal, 2020, 76( 2): 82–102
Number of pages: 41 Posted: 21 Jun 2019 Last Revised: 30 Apr 2020
Diogo Palhares and Scott A. Richardson
affiliation not provided to SSRN and AQR Capital Management, LLC
Downloads 943 (34,064)
Citation 1

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corporate bonds, fixed income mutual funds, fixed income hedge funds