We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity …

Corporate bond returns in major developed economies increase with lower ratings and higher residual maturity. The … performance of various factor models featuring corporate, sovereign and equity markets as factors suggests that the corporate bond … factor plays a dominant role in explaining the variation of corporate bond returns. From a factor model perspective, local …