This paper uses the term structure of interest rates to explain the variations of stock prices
and stock returns. It shows that interest rates have an important impact on stock returns …

In monthly US data for 1959–1979 and 1979–1983, the state of the term structure of interest
rates predicts excess stock returns, as well as excess returns on bills and bonds. This paper …

This paper explores the time variation in the bond risk, as measured by the covariation of
bond returns with stock returns and consumption growth, and in the volatility of bond returns …

This paper documents common empirical regularities in the foreign exchange market and in
the US stock market. We find that increases in interest rates are associated with predictable …

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 …

This study examines the relation between the expected returns on common stocks and short-
term interest rates. Using a two-factor model of stock returns, we show that the expected …

This paper examines the hypothesis that financial markets are myopic by studying the term
structure of interest rates. White rejecting decisively the traditional expectations hypothesis …

This paper examines asset pricing theories for treasury bonds using longer maturities than
previous studies and employing a simple multi-factor model. We allow bond factor loadings …

There are few relationships in economics and finance that have been studied as often and
with such variety of techniques as the term structure of interest rates. Yet, while a host of …

This paper empirically investigates the information content of the US term structure of
interest rates (USTS) on three major stock markets. We separate the term structure into two …