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Decomposing Expected Bond Returns
Sabol, Steven - 2015
This paper blends the successful decomposition of nominal bond returns by Pflueger and Viceira (2011), with the …
Persistent link: https://www.econbiz.de/10013010177
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A Note on Using Macro Variables to Forecast Bond Returns
Sabol, Steven - 2015
This brief note builds on Sabol (2015) and details a direct way to forecast bond returns from fundamental predictions …
Persistent link: https://www.econbiz.de/10013010179
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Dissecting the Bond Profitability Premium
Campbell, T. Colin - 2015
In contrast to prior equity market results, we document that corporate bonds issued by low profitability firms outperform bonds issued by highly profitable firms. This performance difference is primarily driven by low profitability, low credit rating firms. This profitability premium is...
Persistent link: https://www.econbiz.de/10013014314
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Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations between Commodity, Stock, and Bond Returns?
Giampietro, Marta - 2016
and bond portfolios …
Persistent link: https://www.econbiz.de/10012992865
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Artificial Neural Networks in Fixed Income Markets for Yield Curve Forecasting
Nunes, Manuel - 2018
The yield curve is the centrepiece in bond markets, a massive asset class with an overall size of USD100 trillion that …
Persistent link: https://www.econbiz.de/10012924319
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Forecasting bond returns in a macro model
Hou, Keqiang; Li, Xing; Li, Zeguang; Wu, Ting - In: International review of economics & finance : IREF 72 (2021), pp. 524-545
Persistent link: https://www.econbiz.de/10012671988
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The application of different term-structure models to estimate South African real spot rate curve
Mashoene, Mmakganya; Doorasamy, Mishelle; Rajaram, Rajendra - In: International journal of finance & banking studies : JJFBS 10 (2021) 3, pp. 21-36
Persistent link: https://www.econbiz.de/10012616092
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Forecasting Bond Risk Premia using Stationary Yield Factors
Hoogteijling, Tobias; Martens, Martin; van der Wel, Michel - 2021
yields have strong predictive power for bond risk premia, in contrast to the factors based on yield levels. We also provide … insights into the impact this has on the added value of macro data for bond risk premia predictions and the recent conclusion …
Persistent link: https://www.econbiz.de/10013233328
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Speculation, sentiment, and interest rates
Buraschi, Andrea; Whelan, Paul - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2308-2329
Persistent link: https://www.econbiz.de/10013268155