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 … betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply. …

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 … betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply …

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 …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

This article provides a stochastic valuation framework for bond and stock returns that builds on three different …