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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
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 …
Persistent link: https://www.econbiz.de/10012972962
We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long … bond betas …
Persistent link: https://www.econbiz.de/10012934945
is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …
Persistent link: https://www.econbiz.de/10009777926
Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare …
Persistent link: https://www.econbiz.de/10013403799
This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of … bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …-movements in forward term premia in global bond markets …
Persistent link: https://www.econbiz.de/10012856793
not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …
Persistent link: https://www.econbiz.de/10012860176
corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …
Persistent link: https://www.econbiz.de/10012918313
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Persistent link: https://www.econbiz.de/10003872174