Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German … contract consistently increases this contract's information share. -- Bond futures ; information shares ; price discovery …