Oil price changes fail to predict asset returns because they are too noisy. We construct an oil trend factor that filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging countries, both in sample and out of sample. Notably, the...

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury bonds. We find that the predictive power of this factor is both statistically significant and economically important and is not spanned by the current yield curve. The disaster...

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

Recent studies show that the consensus forecasts of professional forecasters and central bankers underreact to news relative to full-information rational expectations. However, can the treasury bond market anticipate such underreaction through information aggregation? To answer this question, we...