The Cross-Section and Time-Series of Stock and Bond Returns

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Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks (2012, unknown): “This literature highlights another difference between our paper and Fama and French (1993) and Koijen et al. (2010).”
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “These findings thus point towards joint dynamic asset pricing of stocks and bonds, as explored in linear settings by Mamaysky (2002), Bekaert, Engstrom, and Grenadier (2010), Lettau and Wachter (2010), Ang and Ulrich (2012), Koijen, Lustig, and van Nieuwerburgh (2013), and Adrian, Crump, and Moench ”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “The methodology used is similar to that used by Stock and Watson (1999) to construct their index of real economic activity, and it is also related to the PCs of economic activity used by Ludvigson and Ng (2010) to forecast excess returns in bond markets.”
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital (2013, background): “For example, Bansal, Dittmar, and Lundblad (2005); Hansen, Heaton, and Li (2008); Kiku (2006); and Koijen, Lustig, and Nieuwerburgh (2010) document that value stocks have a higher exposure to long-run economic activity risk than growth stocks.”
Risk Price Dynamics (2009, unknown): “See Len et al. (2003) Lemma 2.”