. 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 …

related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …

equity term structure cyclicality and the upward sloping bond term structure …

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 …

Using a large panel of Treasury futures and options, I construct model-free measures of bond uncertainty and tail risks … across different tenors from 2000 to 2020. I find that bond tail risk 1) negatively correlates with stock tail risk in … the 2008 Financial Crisis and in March 2020 foreshadowing the extreme challenges in the Treasury bond markets; 3) and has …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …