Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010
dynamics of bond yields, and time series variation in expected stock and bond returns. Its pricing factors are motivated by a … of the term structure of interest rates and price the cross-section of bond returns. Shocks to the permanent component … bond returns. These shocks price the cross-section of book-to-market sorted stock portfolios. Because the CP factor is a …