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 …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

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 …

firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … strips. Our model delivers testable predictions about the behavior of firm-level real variables - investment and output …

We document a new business cycle fact: the cross-sectional standard deviation of firm-level investment (investment … dispersion) is robustly and significantly procyclical. This makes investment dispersion different from the dispersion of … productivity and output growth, which is countercyclical. Investment dispersion is more procyclical in the goods-producing sectors …

time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond …

, as would be the case if the centralquot; tendency was constant. However, since longer-maturity bond prices incorporate … informationquot; about the central tendency, longer-maturity bond yields can be used to predict future short-termquot; rate movements …

on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that … much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases …

-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …