Recent findings on the term structure of equity and bond yields pose serious challenges to existing equilibrium asset … pricing models. This paper presents a new equilibrium model to explain the joint historical dynamics of equity and bond yields … (and their yield spreads). Equity/bond yields movements are mainly driven by subjective dividend/GDP growth expectation …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation for …

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 …

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market … volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: expected returns increase for stocks when volatility increases from moderate to high levels, while …

. 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 …

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 …