to produce accurate forecasts of bond excess returns and to construct profitable investment strategies in bond markets … then derive the implied forecasts for bond excess returns. We find that the method delivers substantial improvements in out …

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 …

expected bond returns, and in client emails, the intuition behind why he expects his models to work for the foreseeable future … simple strategies to look at how other variables related to bond yields influence changes in the shape of the curve. 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 …

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 …