*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

policy ingredients on the current state of the economy. Furthermore, I obtain a single factor which contains information from … the Taylor like monetary policy rule about the future state of the economy. This factor can predict between 32% and 74% of … the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

This paper aims to explore whether text-based sentiment can perform well at predicting bond returns. We propose a … sentiment trend factor based on the bond fear index that is a powerful predictor for future bond risk premia in- and out …-of-sample. Notably, the text-based fear trend factor outperforms the previous effective bond return predictors and remains significant in …