Showing 1 - 10 of 12,331
future bond returns and fiscal balances …
Persistent link: https://www.econbiz.de/10013028968
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 …
Persistent link: https://www.econbiz.de/10010478516
Bond market order flow contains information about future yield changes that is not incorporated into the current yield … tiers of the Norwegian government bond market, enables the paper to investigate the sources of predictability. Forecasts … based on individual bond dealer order flow suggest that customer type, rather than the size of the customer base, is one of …
Persistent link: https://www.econbiz.de/10013113018
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 …
Persistent link: https://www.econbiz.de/10012937778
Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …
Persistent link: https://www.econbiz.de/10013004337
This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield …
Persistent link: https://www.econbiz.de/10013244576
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …
Persistent link: https://www.econbiz.de/10011864574
We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …
Persistent link: https://www.econbiz.de/10011772268
Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …
Persistent link: https://www.econbiz.de/10012996646
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 …
Persistent link: https://www.econbiz.de/10014120968