This paper aims to explore whether text-based sentiment can perform well at predicting bond returns. We propose a sentiment trend factor based on the bond fear index that is a powerful predictor for future bond risk premia in- and out-of-sample. Notably, the text-based fear trend factor...

This paper aims to explore whether text-based sentiment can perform well at predicting bond returns. We propose a sentiment trend factor based on the bond fear index that is a powerful predictor for future bond risk premia in- and out-of-sample. Notably, the text-based fear trend factor...