predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small …

an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn …

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 …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

the bond and repurchase, so that future capital losses may be realized short term; and raising the basis through sale of … the bond and repurchase in order to deduct from ordinary income the amortized premium. Because of the interaction of these … substantially from the buy-and-hold policy irrespective of whether the bondholder is a bank, a bond dealer, or an individual. We …

follow simple time-series processes whose parameters can be estimated from the cross-section of bond prices. The extracted …

historical bond data …

We develop a model in which specialized bond investors must absorb shocks to the supply and demand for long-term bonds … currencies, as well as bond term premia in both currencies. Our model matches several important empirical patterns, including the …