modified duration and convexity. My R-Package Bond Valuation closes the gap between theory and data …

). Progress into fixed income asset pricing has been slow, and there is still no consensus of which combinations of bond indexes … duration factor, a global bond factor, a credit factor, and three exchange rate factors, the resulting ten-factor model can …

bond dealers' choice in the hybrid Norwegian government bond market, I explore whether they adopt a trading strategy based … on the perceived informativeness of their trades. The results imply that bond dealers act strategically to preserve the …

Bond yields can be decomposed into expected short rates and term premiums. We directly measure the former using all … available U.S. professional forecasts and obtain the latter as the difference between bond yields and survey-based expected … short rates. While the behavior of nominal and real short rate expectations is consistent with standard macroeconomic theory …

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 …

The liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation …

Cochrane and Piazzesi (2005) show that (i) lagged forward rates help predict bond returns and that (ii) modern … model combines one moving-average with the usual three Gaussian risk factors, closely matches the bond risk premium measured … from predictive regressions and provides better forecasts of bond returns. Our framework nests Duffee (2011) models with a …