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Journal Article

Stock-Bond Correlations

The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently.

Journal Article

Time Variation in the Equity Risk Premium

The equity risk premium (ERP) refers to the expected (and sometimes realized) return of a broad equity index in excess of some fixed-income alternative.

Journal Article

Time-Varying Expected Returns in International Bond Markets

A growing body of literature describes predictable variation in U.S.

Journal Article

What Really Happened to U.S. Bond Yields

Long-term U.S.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.

Journal Article

Which Risks Have Been Best Rewarded?

An empirical study examines the consistency of rewards for bearing various types of risks in U.S.

Journal Article

How Much Should DC Savers Worry About Expected Returns?

DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income.

Journal Article

The Norway Model

By 2011, Norway’s Government Pension Fund Global (GPFG) was ranked the largest investor in the world.

Journal Article

The Value Of Duration as a Risk Measure for Corporate Debt

Duration is the primary risk measure for fixed-income portfolio managers.

Journal Article

How Well Does Duration Measure Interest Rate Risk?

Fixed-income managers use duration to measure the risk of their portfolios.