autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand …

We examine return premia associated with the level, slope, and curvature of the yield curve over time and across …, when applied to bonds, provide a rich description of bond return premia: subsuming pricing information from the yield curve …'s first three principal components, as well as priced factors unspanned by yield information, such as macroeconomic growth …

compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by … convenience yield in addition. …

of the EFSF curve and the swap curve allows to further identify the liquidity and credit components of both yield curves …