Common risk factors in the returns on stocks and bonds, Fama and French 1993 can be found here.
This paper is a generalization to the earlier 1992 paper to cover bonds: incl gov and corporate bonds.
- Equity market return
- SMB
- HML
- TERM: a term premium for bonds
- DEF: a credit premium
Key results:
- stocks are more sensitive to TERM (rate factor) and DEF (credit premium) than bonds
- bonds are more correlated to these two factors than stocks.