bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their … Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future …

to produce accurate forecasts of bond excess returns and to construct profitable investment strategies in bond markets … then derive the implied forecasts for bond excess returns. We find that the method delivers substantial improvements in out … it would have outperformed its competitors even after accounting for a risk-return tradeoff. …