This paper gives a comprehensive review of the literature on the interaction between real
stock returns, inflation, and money growth, with a special emphasis on the role of monetary …

We propose a dynamic risk‐based model that captures the value premium. Firms are
modeled as long‐lived assets distinguished by the timing of cash flows. The stochastic …

This paper proposes a consumption-based model that accounts for many features of the
nominal term structure of interest rates. The driving force behind the model is a time-varying …

Publisher Summary The quest for understanding what moves bond yields has produced an
enormous literature with its own journals and graduate courses. Those who want to join the …

This paper presents an essentially affine model of the term structure of interest rates making
use of macroeconomic factors and their long-run expectations. The model extends the …

This paper studies the dynamic behavior of security prices in the presence of investors'
heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and …

Bond factors which predict future US economic activity at business cycle horizons are priced
in the cross-section of US stock returns. High book-to-market stocks have larger exposures …

Stock and Treasury bond comovement, volatilities, and their relations to their price
valuations and fundamentals change stochastically over time, in both magnitude and …

This paper examines the effect of inflation on stock valuations and expected long-run
returns. Ex ante estimates of expected long-run returns are constructed by incorporating …

This paper proposes a dynamic risk-based model capable of jointly explaining the term
structure of interest rates, returns on the aggregate market, and the risk and return …