the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …

We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using … and changes in short term interest rates are key predicators for stock returns. Additionally, for bond returns, exchanges …

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is … unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite … disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns …

. The impact of this time-varying risk aversion proxy on bond risk premia is then analysed within an arbitrage-free term … discount factor, we find that the risk aversion factor has significantly affected UK government bond yields. The changes in the …

the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the … same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem … results suggest that periods of elevated stock market uncertainty lead to a decoupling between stock and bond prices. Finally …