corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign …I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces …-flow) shocks produce comovement of bond and stock returns and positive term premium. The relative strength of these two mechanisms …

market, whereas traditional A-REITs are integrated with the bond market. When examined on a quarterly basis, changes to …

-market effects of order flow. In particular, while Treasury bonds play a dominant role in stock-bond portfolio rebalancing, corporate … bonds can replace Treasury bonds as a safe “haven” during extreme stock market conditions or during a fall in Treasury bond …

This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money …

factors along with their size and value decompositions on U.S. bond and stock returns for a variety of horizons ranging from … information for future bond and stock market returns than the typically employed financial variables. Combination of forecasts of …

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing … hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the … reliable prediction of the stock-bond correlation. First, they show how to represent the correlation of single period …