Recent findings on the term structure of equity and bond yields pose serious challenges to existing equilibrium asset … pricing models. This paper presents a new equilibrium model to explain the joint historical dynamics of equity and bond yields … (and their yield spreads). Equity/bond yields movements are mainly driven by subjective dividend/GDP growth expectation …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

. 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 …

qualitative and quantitative methodologies, such as bond portfolio managers and statistical analysis.The explaining variables for … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is …

We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … 12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …

pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …

not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …

equity term structure cyclicality and the upward sloping bond term structure …