we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors … for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as … term structure models that omit information about foreign bond yields are therefore likely to be misspecified …

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

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …

procedure, to estimate the yield differential between a green bond and an otherwise identical synthetic conventional bond from … July 2013 to December 2017. The results suggest a small negative premium: the yield of a green bond is lower than that of a … conventional bond. On average, the premium is -2 basis points for the entire sample as well as for EUR and USD bonds separately. We …

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government … bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable … further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is …