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 …

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 …

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 …

-of-sample bond return predictability when real-time, instead of fully-revised, macro variables are taken as predictors. First, when … forecasting both non-overlapping and overlapping excess bond returns. In contrast, some machine learning models can help find some … statistical evidence for forecasting overlapping excess bond returns. Second, when using both pure real-time macro information and …

realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …

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 …

analyst coverage links documented in the literature. The cross-return predictability is not significant in the bond market … response to news regarding bond-linked peer firms. Overall, our results are consistent with limited investor attention due to … market segmentation between the equity and bond markets …

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 …

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 …

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 …