interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the …-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation …