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 …

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 …

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 …

not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …

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 …

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 …

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We … changes in macroeconomic and monetary variables. These results differ from an earlier study on bond yields by Ang and Piazzesi … policy is conducted in China …

premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model …

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …