macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …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 …

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 …

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our …

Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the … dividend strips of the corresponding local aggregate stock market index. I find that these bond portfolios have performed as …) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and … about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real … interest rate changes have little impact on either stock or 10-year bond returns, although they do affect the short …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …