The link between measures of risk and return within the equity market has been very weak over the past 47 years: In the United States, returns on high-risk stocks have cumulatively fallen short of the returns on low-risk stocks, during a period when the equity market as a whole experienced high...

In contrast to the well-known unstable relationship between the returns on government bonds and stock indices, we find that bonds are robustly related to the cross-section of stock returns in both comovement and predictability patterns. Government bonds comove more strongly with bond-like...

In contrast to the well-known unstable relationship between the returns on government bonds and stock indices, we find that bonds are robustly related to the cross-section of stock returns in both comovement and predictability patterns. Government bonds comove more strongly with bond-like...

Much of empirical corporate finance focuses on sources of the demand for various forms of capital, not the supply. Recently, this has changed. Supply effects of equity and credit markets can arise from a combination of three ingredients: investor tastes, limited intermediation, and corporate...

Traditional capital structure theory predicts that reducing banks' leverage reduces the risk and cost of equity but does not change the weighted average cost of capital, and thus the rates for borrowers. We confirm that the equity of better-capitalized banks has lower beta and idiosyncratic...

The “low risk anomaly” refers to the empirical pattern that apparently high-risk equities do not earn commensurately high returns. In this paper, we consider the possibility that the risk anomaly represents mispricing, not a misspecification of risk, and develop the implications for...

The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term spread predict excess bond...

In contrast to the well-known unstable relationship between the returnson government bonds and stock indices, we find that bonds are robustly related to the cross-section of stock returns in both comovement and predictability patterns. Government bonds comove more strongly with bond-like stocks:...