Cieslak and Povala (2011) discovered that conditioning levels of interest rates on trend inflation helps to forecast bond returns. This note explores that theme using other measures of trend including trend GDP growth. I find that a model free de-trending of rates by trend GDP performs as well...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...