Equity Trading Activity and Treasury Bond Risk Premia
研究发现，股票市场的波动率-成交量比率（VVR）能正向预测国债超额收益，因为宏观经济状态转变时，知情交易者信号更有效，导致非知情交易者减少交易，央行政策不确定性推高债券风险溢价。
Abstract We link equity and treasury bond markets via an informational channel. When macroeconomic state shifts are more probable, informed traders are more likely to have valid signals about fundamentals, so that uninformed traders are less willing to trade against informed ones. This implies low volume and high volatility, that is, a high volatility–volume ratio (VVR). Central banks react to state shifts, but their actions are uncertain. Therefore, a higher state shift likelihood implies larger bond risk premia. These arguments together imply that VVR should positively predict bond excess returns. We empirically test and confirm this prediction, both in- and out-of-sample.