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Nonlinear Common Risk Premia for Stocks and Bonds

https://doi.org/10.2139/ssrn.5372192
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Common risk factors in the returns on stocks and bonds
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Firm-specific information and the correlation between individual stocks and bonds
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Is gold a safe haven? International evidence
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Asset pricing with liquidity risk
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A five-factor asset pricing model
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High frequency trading and comovement in financial markets
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Multiple Structural Change Models: A Simulation Analysis
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The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices
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Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
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What is the Expected Return on the Market?*
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Hard Times
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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
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Variance Risk Premiums
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Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-snapshot
Expectations of Returns and Expected Returns
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Digesting Anomalies: An Investment Approach
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Flights to Safety
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Consumption, Aggregate Wealth, and Expected Stock Returns
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Expected Option Returns
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Leaning Against the Wind
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
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Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
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Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
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Uncertainty about Government Policy and Stock Prices
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Uncertainty, Time‐Varying Fear, and Asset Prices
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Comparing Asset Pricing Models
inferredcites →https://doi.org/10.1111/jofi.12776openalex-snapshot
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds
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What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1111/jofi.12854openalex-snapshot
On Comparing Asset Pricing Models
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Don't Take Their Word for It: The Misclassification of Bond Mutual Funds
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Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
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Estimation of a Change Point in Multiple Regression Models
inferredcites →https://doi.org/10.1257/0002828053828581openalex-snapshot
Bond Risk Premia
inferredcites →https://doi.org/10.1257/aer.20131193openalex-snapshot
Measuring Uncertainty
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The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity
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Consumption, Aggregate Wealth and Expected Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.2594033openalex-snapshot
Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds
inferredcites →https://doi.org/10.2139/ssrn.2827148openalex-snapshot
High Frequency Trading and Co-Movement in Financial Markets
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Quantitative tightening: protecting monetary policy from fiscal encroachment
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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
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Tests of Equality Between Sets of Coefficients in Two Linear Regressions
inferredcites →https://doi.org/10.2307/1924119openalex-snapshot
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.2307/2951764openalex-snapshot
Tests for Parameter Instability and Structural Change With Unknown Change Point
inferredcites →https://doi.org/10.2307/2998540openalex-snapshot
Estimating and Testing Linear Models with Multiple Structural Changes
inferredcites →https://doi.org/10.3386/w10327openalex-snapshot
Flight to Quality, Flight to Liquidity, and the Pricing of Risk
inferredcites →https://doi.org/10.3386/w20480openalex-snapshot
Asset Management Contracts and Equilibrium Prices
inferredcites →https://doi.org/10.3386/w26423openalex-snapshot
Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds
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Market Microstructure Invariance: Empirical Hypotheses
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