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 …

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 …

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 … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …

This paper studies the impact of ambiguous information regarding future interest rates on bond prices. A simple bond …-pricing model with ambiguity aversion shows that positive bond uncertainty premiums exist, and the interest rate ambiguity affects … the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of … cat bond returns. After investigating a battery of possible cat bond return factors in bivariate and multivariate … portfolio sorts as well as Fama-MacBeth regressions, we propose a four-factor cat bond model. Its factors are the seasonality …

yields have strong predictive power for bond risk premia, in contrast to the factors based on yield levels. We also provide … insights into the impact this has on the added value of macro data for bond risk premia predictions and the recent conclusion …

We introduce an approach to forecast individual bond liquidity and apply it to the U.S. corporate bond market. Our … model combines three dynamic prediction models to get the most accurate estimate for future bond liquidity. We compare the … new prediction methodology with the literature's current approach to use a bond's liquidity of today as the best estimate …

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real … economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability … levered investments in bonds can improve short-run bond return predictability …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …