Based on a vector autoregressive model, this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more prominent...

Bonds of Swiss non-government borrowers offered higher daily excess returns ("alphas") than suggested by their sensitivities to standard risk factors over the sample period from 2007 to 2014. By contrast, comparable bonds (same currency denomination and credit rating category) issued by foreign...

Based on a vector autoregressive model (VAR), this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more...

This paper empirically shows that US monetary policy influences present and future exposures of developed markets' government bond returns to measures of global, systematic risk and thus affects the time variation of returns on these countries' government bonds. This finding illustrates US...

Motivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market ("Goliath vs David" (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and...

This paper assesses whether the global fall in inflation expectations together with increased fear of recession, the economic mechanism that drives asset prices in a model with consumption habits, help to explain the downward trajectory in nominal government bond yields and the stock price...