ffine property, we compute the nominal and inflation-indexed bond prices explicitly. We derive no-arbitrage drift conditions … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … U.S. bond data and perform an in-sample hedging analysis. Having relatively small in-sample hedging errors, we validate …

Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it … reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty …. Despite the popularity of bond ladders as a strategy for managing investments in fixed-income securities, there is surprising …

We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …