The cross over -- Fixed income strategies for the equity investor -- The enforcer -- Equity strategy for the bond …

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 …

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

and nominal bond returns is driven by real factors. I build a New Keynesian model that generates this behavior through the … stochastically over time. The model quantitatively explains the observed patterns in stock-bond return comovement …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …