bond portfolio. The reason for this is that a pure stock portfolio loses a large fraction of its value in a downturn. We …

Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on … interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical …

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of … bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …-movements in forward term premia in global bond markets …

This paper revisits the predictability of bond excess returns by means of long-term forward interest rates. We assess …

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 …