We show that equity volatility serves as a determinant of future Treasury term-structure volatility over the recent October 1997 to June 2013 period. We find that equity volatility contains incrementally reliable information for the subsequent volatility of: (1) 10-year and 30-year bond futures...

We study whether asset-class risk dynamics can help explain the predominantly negative stock-bond return relation and movements in the term-structure's slope over 1997-2011. Using option-derived implied volatilities to measure risk, we find: (1) the negative stock-bond return relation largely...

Adrian, Crump, and Vogt (2019) find that a nonlinear specification is required to identify a reliable relation between VIX and the equity premium. We reexamine this risk-return issue in a multi-risk framework with VIX and T-bond risk (MOVE). We find that: (1) the `MOVE-equity premium' relation...

Over 1960 to 2017, we show that a positive risk premium from holding high-beta stocks (versus low-beta stocks) and small-cap stocks (versus large-cap stocks) is reliably earned only after the expected stock-market volatility breaches an approximate top-quintile threshold. The high conditional...