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 …

be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data … for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices …

for Prospect Theory investors and investors with various aspiration levels as well …

escalation and inflation linked options), bond ladders, and investment portfolio. Assuming an annual decline in expenditure of 1 …, while a bond ladder provides the best solution when the baseline income is greater than about 20% of the initial portfolio …

We document significant outperformance by government bond funds on important macro announcement days such as FOMC and …

bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG …

number of bond funds with: both positive gross-of-fee alpha and positive net-of-fee alpha performance; and also a reduction … in funds with negative-alpha performance. This result indicates that many US bond fund managers anticipated the … Quantitative Easing that followed the GFC, positioned their bond funds against their benchmarks accordingly and added value to …