Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market … bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and … of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by …

A bond's expected return (EBR) is the ex-ante internal rate of return of the bond's expected future cash flows, whereas … a bond's yield to maturity (YTM) is the internal rate of return of its promised future cash flows. In this paper we … the model to U.S. corporate bond data, using rating transition matrices and industry-specific recovery rates. We show that …

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …

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 …

observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …