This paper revisits the study of time-varying excess bond returns in international bond markets. Using newly available … the predictability of excess bond returns …

only strong evidence of information asymmetry in sovereign bond markets, but we also show the relevance of information … asymmetry in explaining the cross-sectional variations of bond yields across a wide range of bond maturities and countries. Our … highest permanent price impacts in the long maturity class. More importantly, we study the cross-section of bond yields and …

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government … bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable … further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is …

In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast …, long-term bond risk premia feature cyclical swings. We empirically examine the predictability of the market variance risk … premium – a proxy of economic uncertainty – for bond risk premia and we show the strong predictive power for the one month …