central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as …

existing evidence rejecting the EH in nominal bonds. This rejection implies that the risk premium on both real and nominal … bonds varies predictably over time. We also find strong evidence that the spread between the nominal and the real bond risk … premium, or the break-even inflation risk premium, also varies over time. We argue that the time variation in real bond risk …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates …, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of … are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show …

rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In …, and we explore its implications for asset allocation. Changes in investment opportunities can alter the risk …-return tradeoff of bonds, stocks, and cash across investment horizons, thus creating a ``term structure of the risk-return tradeoff …