We analyze reallocations within the international bond portfolios of US investors. The most striking empirical … economic growth. We also provide a descriptive analysis of global bond markets' structure and returns …

important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond … of bond and issuer controls, including bond liquidity and duration, and issuer fixed effects. This behavior is related to …

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …

This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing … coefficients appear neutral to weakly positive. Adjusting for nonlinearity the performance of many bond funds is significantly …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was … of these state variables enables the model to ...fit the changing covariance of bond and stock returns. Log bond yields … concavity of the yield curve - the level of intermediate-term bond yields, relative to the average of short- and long-term bond …

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our …