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Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets

Huang, Wei-Qiang; Zhang, Jing; Liu, Peipei - In: Applied economics letters 30 (2023) 10, pp. 1318-1326

Persistent link: https://www.econbiz.de/10014304235

Forecasting bond risk premia with unspanned macroeconomic information

Liu, Rui - In: The quarterly journal of finance 9 (2019) 1, pp. 1-62

Persistent link: https://www.econbiz.de/10012029073

Short-run bond risk premia

Mueller, Philippe; Vedolin, Andrea; Zhou, Hao - In: The quarterly journal of finance 9 (2019) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10012166887

Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

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 … forecasts appears a much less important driver of bond premia. …

Persistent link: https://www.econbiz.de/10010441139

Subjective bond returns and belief aggregation

Buraschi, Andrea; Piatti, Ilaria; Whelan, Paul - In: The review of financial studies 35 (2022) 8, pp. 3710-3741

Persistent link: https://www.econbiz.de/10013350117

Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

Persistent link: https://www.econbiz.de/10014433708

Oil price uncertainty and movements in the US government bond risk premia

Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012654789

Climate policy uncertainty and the stock return predictability of the oil industry

He, Mengxi; Zhang, Yaojie - In: Journal of international financial markets, … 81 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013533381

Can US trade policy uncertainty help in predicting stock market excess return?

Li, Dakai; Zhang, Fan; Li, Xuezhi - In: Finance research letters 49 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013479261

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