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 …

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …

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 …

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real … economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability … levered investments in bonds can improve short-run bond return predictability …