Oil price changes fail to predict asset returns because they are too noisy. We construct an oil trend factor that filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging countries, both in sample and out of sample. Notably, the...

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...