We examine term structure theories by using a novel approach. We form bond investment strategies based on different … indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and … if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response …

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 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 …

Bond Spread basis as a liquidity indicator and a state space model with time-varying volatility specification, we show that …

Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds … implications for international diversification of investment strategies. Moreover, we also examine in detail stock-bond …, and across bond maturity segments …

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond …, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects. -- bond …

We examine government bond factor premiums in a deep global sample from 1800 to 2020 spanning the major markets and … maturities. Bond factors (Value, Momentum, Low-risk) offer attractive premiums that do not decay across samples, are persistent …, as well as to bond or equity market risks. A combined multi-factor bond strategy provides the strongest risk …

Using comprehensive regulatory data, we examine trading by different investor types in government bond markets. Our …