Stock and bond returns with Moody Investors

By Geert Bekaert, Eric C. Engstrom, Steven R. Grenadier. 2010

179 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/174016d07f7a65f23ce3406359c9526c37cfa8c5

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Citations in the corpus

Expected Returns, Yield Spreads, and Asset Pricing Tests (2005, unknown): “Another relevant connection with the literature concerns Bekaert et al. (2004), who present a model with stochastic risk aversion that is consistent with many stylized facts in the aggregate stock and bond markets.”
A consumption-based model of the term structure of interest rates ☆ (2006, methodology): “Bakshi and Chen (1996), Bekaert et al. (2004), and Brennan et al. (2004) apply this approach to the pricing of bonds and equities. denote the real yield on the real bond and the nominal yield on the nominal bond, respectively.”
The Cross-Section and Time-Series of Stock and Bond Returns (2017, unknown): “Examples are the external habit model of Campbell and Cochrane (1999), whose implications for bonds were studied by Wachter (2006) and whose implications for the cross-section of stocks were studied separately by Menzly, Santos, and Veronesi (2004) and Santos and Veronesi (2006). Likewise, the impli”
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2013, unknown): “Third, it would be possible to derive stock returns from primitive assumptions on the dividend process, as in the recent literature on a¢ ne models of stock and bond pricing (Mamaysky 2002, Bekaert, Engstrom, and Grenadier 2005, d Addona and Kind 2006, Bekaert, Engstrom, and Xing 2009).”
Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “…affine or real business cycle models to provide an integrated treatment of bonds and stocks (Ang and Ulrich 2012, Bansal and Shaliastovich 2013, Bekaert, Engstrom, and Grenadier 2010, Ermolov 2015, Koijen, Lustig, and Van Nieuwerburgh 2010, Campbell 1986, Campbell, Sunderam, and Viceira 2013,…”
The Wealth-Consumption Ratio (2008, unknown): “Bansal, Dittmar, and Lundblad (2005), Bekaert, Engstrom, and Grenadier (2005) and Bekaert, Engstrom, and Xing (2008) consider versions of the LRR model with cointegration. that is linear in st − s̄.”
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “Furthermore, intermediaries face liquidity shocks in addition to productivity shocks, while the models of He and Krishnamurthy (2013) and Brunnermeier and Sannikov (2014) only feature a single shock.”
Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks (2012, unknown): “Recent contributions include Baele, Bekaert, and Inghelbrecht (2009), Bekaert, Engstrom, and Grenadier (2005), and Campbell, Sunderam, and Viceira (2009).”
Expected stock returns and variance risk premia (2007, unknown): “Related to this, Bekaert et al. (2008) estimates a strong positive, but due to changes in risk aversion, time-varying risk-return relationship.”