This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor … relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios …-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping …

), two-stage least squares (2SLS), and generalized method of moment (GMM) estimators. Using both stock and bond data, our …

Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …

Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond …

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market …

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …

market price of a CoCo bond in a Black-Scholes setting. The numerical results in this paper show how different contingent …

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 …

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond …