captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

-based structure. Liquidity conditions for EFSF bonds in the secondary market are different from those of large sovereign bond issuers …, which affects bond pricing. This paper offers the first study of the term structure of EFSF bond yields and a decomposition …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

, a time-varying coefficient model is introduced and applied to German bond data. The results support the theoretical …

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

bond primary market. We find that supply shocks have positive effects on nominal and real interest rates. Most of the …

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government … bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable … further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is …

The study investigated both the January effect and the "sell-in-May-and-go-away" anomaly in government bond returns. It … volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992 …-2016 proved that both the bond returns and factor premia had remained unaffected by the January and "sell-in-May" effects. These …