I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …

information for forecasting bond risk premia in a macro-finance term structure model from the perspective of a bond investor. I … forecaster's objective. Incorporating macro information generates significant gains in forecasting bond risk premia relative to …

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond …

This paper investigates the optimal bond portfolio choice of an investor in a model that captures both the failure of … bond returns. I estimate a daily multifactor affine term structure model with a large set of unrevised macroeconomic data … in which one of the state variables is unspanned by the contemporaneous yield curve. By characterizing the optimal bond …

We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using … and changes in short term interest rates are key predicators for stock returns. Additionally, for bond returns, exchanges …

explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by … new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark …