We investigate information shares in the price discovery process in the euroarea sovereign bond market across the yield curve, during both calm and crisis periods. We employ a rich high-frequency dataset from the MTS platform. We find that price discovery is enhanced, on average, especially for...

This paper contributes to the equity premium prediction literature by studying the performance of rarely not researched predictors. To do so, we analyze the ability of state-of-the-art liquidity and uncertainty predictors to beat the historical average when forecasting the monthly U.S. equity...