The Determinants of Stock and Bond Return Comovements
---- Acknowledgements -----
The authors greatly benefited from discussions with Frank de Jong, Francis Diebold, Andrea Frazzini, Eric Ghysels, Antonio Moreno, Theo Nijman, Paolo Pasquariello, Ralph Koijen, Peter Schotman, Allan Timmermann, Bas Werker, Jeffrey Wurgler, Raf Wouters and seminar participants at the Bank of England, the AFA 2009 Meetings in San Francisco, the EFMA 2008 meetings in Athens, the INQUIRE 2008 meeting in Zurich, the Bank of Norway, the Universities of Navarra, the University of Valencia, the National Bank of Belgium, Ghent University, NETSPAR, Tilburg University, and the University of the Basque Country. We gratefully acknowledge the financial support of Inquire Europe. Koen Inghelbrecht acknowledges financial support from the National Bank of Belgium. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.