We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk … factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond … returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a …

changes in the risk and term structures of interest rates. The impacts of these variables on equity REIT returns is around 60 … risky than stocks generally, but does not offer a superior risk-adjusted return and is not a hedge against unexpected …

for EM currencies reflects persistent country characteristics likely reflective of risk rather than the interest …

and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input … portfolio earns a risk premium exceeding 4 percent annually. In the time series, an investment strategy that is long on the … durable-good portfolio and short on the market portfolio earns a countercyclical risk premium. We explain these findings in a …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding …, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps …

and ex ante volatility. The relation between the one-year expected risk premium and expected risk is negative. However …We present new evidence on the distribution of the ex ante risk premium based on a multi-year survey of Chief Financial … direct evidence that the one-year risk premium is highly variable through time and 10-year expected risk premium is stable …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

and interest differentials co-move, though the risk premium also plays a critical role for safe haven currencies (Japanese …