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 …

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

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

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 …