forward rates. We find that a single factor predicts 1-year excess returns on 1-5 year maturity bonds with an R2 up to 43 …

predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios … long-term inflation-indexed bonds and find that these bonds greatly increase the utility of conservative investors, who …

This paper uses data on actual returns on taxable bonds, tax-exempt bonds, and a small sample of equity mutual funds … contradiction of the often-stated bonds in the tax-deferred account' prescription has two parts. First, many equity mutual funds … do so by holding tax-exempt bonds as well as by holding taxable bonds. The interest rate differential between taxable and …

pricing. Our model provides a more general application of the affine framework in that both bonds and equities are priced in a …

During the decade 1983-1992, approximately 1.4 trillion dollars of municipal bonds were sold in 87 thousand separate …

annuity. Third, we evaluate the potential of assets such as stocks, bonds, and bills, to provide retiree protection from …

According to conventional wisdom, long-term bonds are appropriate for long-term investors who value stability of income … long-term bonds has both a myopic component and an intertemporal hedging component. As risk aversion increases, the myopic … substitute consumption intertemporally should hold a portfolio of long-term indexed bonds that is equivalent to an indexed …

, we test UIP using interest rates on longer-maturity bonds for the G-7 countries. These long-horizon regressions yield …