Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …

, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields …

We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates … stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily … volatility of equity and long term bond risk premia as well as salient features of the nominal short rate, the dividend yield …

This article provides a stochastic valuation framework for bond and stock returns that builds on three different …