Bond carry trading is a popular strategy among investors who are looking for higher returns while minimizing risks. The … basic premise of this strategy is to buy a high yield bond and sell a low yield bond in the same currency and sector, with …

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 examine the predictability of government bond returns using a deep sample spanning 70 years of international data … across the major bond markets. Using an economic, trading-based testing framework we find strong economic and statistical … evidence of bond return predictability with a Sharpe ratio of 0.87 since 1950. This finding is robust over markets and time …

filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging … that oil price increases are associated with subsequent higher bond returns. Besides, we demonstrate that not all oil price … shocks are alike: Although oil demand and supply shocks have opposite implications for economic activity and bond risk premia …

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 …