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Predicting returns in US treasuries : do tents matter?

Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13

Persistent link: https://www.econbiz.de/10011957124

The expected spot rate and risk premium components of treasury bill futures rates

Pilotte, Eugene A. - In: Review of futures markets 12 (1994) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10001183631

Downside variance premium, firm fundamentals, and expected corporate bond returns

Huang, Tao; Jiang, Liang; Li, Junye - In: Journal of banking & finance 154 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014488900

Corporate Bond Moments and Predictability of Equity Returns

Li, Sophia Zhengzi; Yuan, Peixuan; Zhou, Guofu - 2023

We document that the first and third cross-sectional moments of corporate bond returns significantly and positively … predict future stock market returns both in- and out-of-sample. The predictability emerges from informed bond trading and …

Persistent link: https://www.econbiz.de/10014257015

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702

The Credit Risk Premium and Return Predictability in High Yield Bonds

Thomas, Jason - 2012

I demonstrate that much of the time series variation in the credit spread on high yield bonds is attributable to changes in the “credit risk premium” rather than changes in expected default losses. The credit risk premium is the expected excess return investors earn from bearing default risk...

Persistent link: https://www.econbiz.de/10013107927

Forecasting sectorial profitability and credit spreads using bond yields

Saar, Dan; Yagil, Yossi - In: International review of economics & finance : IREF 38 (2015), pp. 29-43

Persistent link: https://www.econbiz.de/10011572333

CDS-bond basis and bond return predictability

Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337

Persistent link: https://www.econbiz.de/10011664711

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

Disaster risk matters in the bond market

Su, Hao; Ying, Chengwei; Zhu, Xiaoneng - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455238

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