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...

This paper forecasts earnings per share four - and eight - quarters ahead for 30 Dow firms using out-of-sample combination forecast methods. We show that many financial/economic variables, such as price-earnings ratio, dividend yield and Treasury bill rate, fail to predict out-of-sample EPS...