macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …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 …

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 …

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …

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 …

information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …

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

and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and … about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real … interest rate changes have little impact on either stock or 10-year bond returns, although they do affect the short …

, and bond markets. Furthermore, it is found that regional variables, as well as trade linkages, constitute a sizeable … explanation of the strength of the propagation of shocks across bond markets, but not as important in stock markets …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …