factors. This paper builds a theoretical model to forecast excess returns on treasury bonds in the context of China's unique … monetary system. Empirical evidence shows that bond excess returns in China are highly predictable when compared to those in … structures of official interest rates set by China's central bank …

between US market and China market. The findings suggest that the significant strong predictability Jegadeesh (1990) finds … comparison shows that the security return predictability in China market is even stronger than that in US market in recent period …