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 …

capital both in equity and bond markets. In the last twenty years, China's presence went from raising a negligible amount of …

in equity and debt markets. Such developments are often attributed to the increased integration of world financial … markets. We present a model that allows us to examine how greater integration in world financial markets affects the behavior … concentrated in bonds. As integration progresses and households gain access to world equity markets, the size and volatility of …

capitalist system in the world; most other countries have been plagued by political upheaval, war, and financial crises. The … purpose of this paper is to provide estimates of return on capital from long-term histories for world equity markets. By …