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The determinants of stock and bond return comovements

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The remainder of this paper proceeds as follows: Section III introduces the Campbell- Shiller dividend-price ratio model and then briefly develops the variant used in my empirical analysis. Section IV provides a description of the data and empirical methodology and lays out the specific predictions of the model. Section V discusses the empirical findings, including tests of the model and hypothesis tests regarding expected inflation’s effect on equity valuations. In section VI, I construct explicit ex ante estimates of expected long-run stock returns. This facilitates a direct analysis of the relation between expected stock and bond returns and expected inflation; it also...
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The determinants of stock and bond return comovements

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