we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

co-movement, even in the Eurozone …

their investments between a preferred stock equivalent to a perpetual bond and multiple bonds of selected maturities. Among … those, a zero-coupon bond provides a constant rate of return, while the prices of the coupon-paying bonds are determined at …

bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct …

: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long … itself after the start of the financial crisis. The lead of the S&P500 stock market index over the bond yields of all …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

long vs. the short maturity bond segments and show that enhanced institutional quality, higher credit quality and better …