This paper analyzes the relation between country specific high-frequency activity indicators and bond holdings in the … portfolio of global investors. Based on positions from more than 20,000 investment funds, we show that bond flows are clearly … important drivers of bond purchases. We show that this effect of activity data - as captured by the Purchasing Managers' Indices …

This paper analyzes the relation between country specific high-frequency activity indicators and bond holdings in the … portfolio of global investors. Based on positions from more than 20,000 investment funds, it finds that bond flows are … important drivers of bond purchases. This effect of activity data - as captured by the Purchasing Managers' Indices (PMIs) - is …

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 …

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 …

macroeconomic shocks can reproduce time-varying stock and bond return correlations. Macroeconomic shocks generate sizable positive …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …