captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

The study investigated both the January effect and the "sell-in-May-and-go-away" anomaly in government bond returns. It … volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992 …-2016 proved that both the bond returns and factor premia had remained unaffected by the January and "sell-in-May" effects. These …

. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically …, bond rates have been persistently negative after the Lehman-Brothers collapse. To explain this paradox, we suggest that, in …, this rise in perceived market fragility alone can explain the drop in both bond rates and price-dividend ratios observed …

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data … for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices …

Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …

We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … 12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …