I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they …

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk …

(unobservable) risk-premium in real time. This implies that bond-risk premia cannot be filtered precisely solely from fixed … demands at intermediate levels of risk-aversion and discuss some shortcomings of the affine framework when applied to bond …This paper investigates the optimal bond portfolio choice of an investor in a model that captures both the failure of …

Bond market order flow contains information about future yield changes that is not incorporated into the current yield … tiers of the Norwegian government bond market, enables the paper to investigate the sources of predictability. Forecasts … based on individual bond dealer order flow suggest that customer type, rather than the size of the customer base, is one of …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …