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 …

I investigate the causal relationship between bond liquidity and stock returns. An improvement in bond liquidity can …). Moreover, average abnormal returns are significantly related to the improvement in bond liquidity and probability of informed …

Considering the Chinese and U.S. bond risk premia jointly, we find that n-year bond excess return can be forecast by n … attitude structures in the U.S. bond market change radically in last decade …

Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors … for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as … term structure models that omit information about foreign bond yields are therefore likely to be misspecified …