This paper investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that BEYR-based investing strategies, namely extreme values, thresholds, and...

This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson-Siegel model, which effectively captures the...

Fixed income investors favor higher yields with lower risk. Our objective in this paper is to outline an active fixed income strategy that maximizes yield and is protected against major risk factors affecting fixed income securities. In particular, we look at interest rate risk, credit risk,...

These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

This paper estimates dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and it provides a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. The paper...

I investigate the transmission of U.S. stock price shocks to real activity and prices in G-7 countries using a multicountry vector autoregressive (VAR) model. I achieve identification by imposing a small number of sign restrictions on impulse responses, while controlling for monetary policy,...

This paper examines the effect of changes in sovereign credit ratings and their outlook on the stock market returns of European countries at different phases of business cycle. Using standard four factors model, study records a significant average marginal effect of credit rating announcements...

While standard no-arbitrage term structure models are estimated using nominal yields from a single country, a growing literature estimates joint models of yields in multiple countries or nominal and real yields from a single country. However, this paper argues that, in two of the most common...