The forward premium anomaly is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of cross-country differences between forward interest rates rather than spot interest rates with dramatic results. These forward interest rate differentials...

The rise of China and fivefold growth of its stock market over the past decade have fueled a growing literature on this market in financial economics. On the corporate side, researchers have evaluated the progress of China's stages of privatization, analyzed biases in the selection of firms for...

Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the government bond market to its first two...

Studies of time-varying government bond risk premia that do not account for corresponding time variation in bond risk are incomplete. This paper provides evidence that (1) bond risk premia are solely compensation for bond risk, as no-arbitrage theory predicts, (2) both bond return volatility and...