In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns, we find that five factors explain 96.5% of the...

EIOPA has recently proposed to introduce standardized pan European personal pension products (PEPPs) that would be available in the accumulation phase, jointly with national personal pension plans. This paper analyzes the PEPPs from the perspective of the academic literature and proposes to use...