We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …

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 …

find additional, very small factors that forecast equally small differences between long term bond returns, and hence …This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on … in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

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 …

The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was … expected inflation, and the ""nominal-real covariance"" of inflation and the real interest rate with the real economy. The last … of these state variables enables the model to ...fit the changing covariance of bond and stock returns. Log bond yields …

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our …

This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing … coefficients appear neutral to weakly positive. Adjusting for nonlinearity the performance of many bond funds is significantly …

expost returns by a forecast error that is uncorrelated with current information. In this paper, we describe how small … the presence of additional trends in excess foreign exchange and bond returns. We also estimate the additional trend …