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

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 …

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 …

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 more …

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