Diogo Palhares

Independent

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 3,865

SSRN RANKINGS

Top 3,865

in Total Papers Downloads

17,111

SSRN CITATIONS
Rank 14,268

SSRN RANKINGS

Top 14,268

in Total Papers Citations

83

CROSSREF CITATIONS

13

Scholarly Papers (7)

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, Independent and London Business School
Downloads 5,547 (2,647)
Citation 34

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, Independent and Arizona State University (ASU) - Finance Department
Downloads 5,321 (2,855)
Citation 38

Abstract:

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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, Independent and Independent
Downloads 2,126 (12,867)
Citation 9

Abstract:

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CDS, credit risk, implied volatility

4.

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, Independent and London Business School
Downloads 1,429 (23,735)
Citation 3

Abstract:

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fixed income, style investing, government bonds, corporate bonds

5.

(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
Independent and London Business School
Downloads 1,410 (24,218)
Citation 3

Abstract:

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corporate bonds, liquidity, risk premium

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
Independent and London Business School
Downloads 1,067 (36,324)
Citation 2

Abstract:

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

7.

Computing Corporate Bond Returns: A Word (or Two) of Caution

Forthcoming, Review of Accounting Studies
Number of pages: 35 Posted: 17 Apr 2023
London Business School, Independent and London Business School
Downloads 211 (249,003)

Abstract:

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credit, fixed income, corporate bonds, returns