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 …

bond yields. The result holds even when controlling for the default risk on corporate bonds. We argue that the corporate …We show that the US Debt/GDP ratio is negatively correlated with the spread between corporate bond yields and Treasury … bond spread reflects a convenience yield that investors attribute to Treasury debt. Changes in the supply of Treasury debt …

We study the effects of the liberty bond drives of World War I on financial intermediation in the 1920s and beyond …. Using panel data on U.S. counties we find that higher liberty bond subscription rates led to an increase in the number of … commercial bank assets. We also find that individuals residing in states with higher liberty bond subscription rates were more …

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

green bonds and characterize the "green bond boom" witnessed in recent years. Second, using firm-level data on green bonds … bonds. I find that the stock market responds positively to the announcement of green bond issues. Moreover, I document a … certification is an important governance mechanism in the green bond market. I conclude by discussing potential implications for …

municipal bond trades involve income taxes. After valuing the tax payments, market discount bonds, which carry income tax …Implicit tax rates priced in the cross section of municipal bonds are approximately two to three times as high as …. These implied tax rates can be identified on the cross section of municipal bonds because a portion of secondary market …

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 … of these state variables enables the model to ...fit the changing covariance of bond and stock returns. Log bond yields … concavity of the yield curve - the level of intermediate-term bond yields, relative to the average of short- and long-term bond …