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Journal Article
Stock-Bond Correlations
September 1, 2003
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
January 1, 2011
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
June 1, 1995
A growing body of literature describes predictable variation in U.S.
Journal Article
When Do Bond Markets Reward Investors for Interest Rate Risk?
December 1, 1996
Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.
Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
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?
August 3, 2016
DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income.
Journal Article
The Norway Model
December 1, 2012
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
June 1, 1994
Duration is the primary risk measure for fixed-income portfolio managers.
Journal Article
How Well Does Duration Measure Interest Rate Risk?
March 1, 1992
Fixed-income managers use duration to measure the risk of their portfolios.