exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the … changes in term premia generates large hedging demands for long-term bonds …

implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …

to two types, a common stock fund and a money-fixed bond fund of a particular maturity. A second goal is to study the … only two funds, a diversified stock fund and an intermediate-term bond fund. Most of this loss can be eliminated by …

foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

long-term bonds has both a myopic component and an intertemporal hedging component. As risk aversion increases, the myopic … component shrinks to zero but the hedging component does not. An infinitely risk-averse investor who is infinitely unwilling to … model to postwar US data and compare consumption and portfolio rules with and without bond indexation, portfolio constraints …

Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is … bond holdings--indirectly because the global holdings dataset does not differentiate by currency denomination--and then …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … the co-movements between relative stock returns and real exchange rates, but from the hedging properties of stock returns …