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Understanding the predictability of excess returns

Thornton, Daniel L. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 4, pp. 485-505

Persistent link: https://www.econbiz.de/10011701088

Bond market response to the collapse of prominent investment banks

Li, Si; Madura, Jeff; Richie, Nivine - In: The financial review : the official publication of the … 48 (2013) 4, pp. 645-670

Persistent link: https://www.econbiz.de/10010197661

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69

Persistent link: https://www.econbiz.de/10011799154

Swedish stock and bond returns, 1856 - 2012

Waldenström, Daniel - 2014

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

Persistent link: https://www.econbiz.de/10010360953

What news drive variation in Swiss and US bond and stock excess returns?

Nitschka, Thomas - In: Swiss journal of economics and statistics 150 (2014) 2, pp. 89-118

Based on a vector autoregressive model (VAR), this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more...

Persistent link: https://www.econbiz.de/10010408277

Have investors been looking for exposure to specific countries since the global financial crisis? : insights from the Swiss franc bond market

Nitschka, Thomas - 2014

disappear when controlling for measures of uncertainty such as stock price volatility. Swiss bond prices rose when stock market …

Persistent link: https://www.econbiz.de/10010495182

Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy

Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54

Persistent link: https://www.econbiz.de/10012000302

Market fragility and the paradox of the recent stock-bond dissonance

Koulovatianos, Christos; Li, Jian; Weber, Fabienne - 2017

. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically …, bond rates have been persistently negative after the Lehman-Brothers collapse. To explain this paradox, we suggest that, in …, this rise in perceived market fragility alone can explain the drop in both bond rates and price-dividend ratios observed …

Persistent link: https://www.econbiz.de/10011760864

Swedish stock and bond returns, 1856 - 2012

Waldenström, Daniel - 2014

Persistent link: https://www.econbiz.de/10010391440

Distress risk premia in expected stock and bond returns

Zhang, Andrew Jianzhong - In: Journal of banking & finance 36 (2012) 1, pp. 225-238

Persistent link: https://www.econbiz.de/10009411138