returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem … measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond …We propose an economically motivated forecast combination strategy in which model weights are related to portfolio …

incorporated into bond prices. Survey forecasts available in real time contain information about future revised data that is … orthogonal to the real-time data and also helps to predict bond returns …

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

We examine the predictive power of the CDS-bond basis for future corporate bond returns. We find that residual basis …, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as counterparty risk …, including credit risk and liquidity risk, we find that a bond portfolio formed on the residual basis generates a significant …