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 …

We examine the predictive power of the CDS-bond basis for future corporate bond returns. We find that residual basis …, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as counterparty risk …, including credit risk and liquidity risk, we find that a bond portfolio formed on the residual basis generates a significant …

factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be … overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in …

further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is … model in forecasting one-month-ahead yield curve. We apply BMA to forecast the government bond yield change and indicate BMA …This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government …

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real … economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability … levered investments in bonds can improve short-run bond return predictability …

We examine the predictability of government bond returns using a deep sample spanning 70 years of international data … across the major bond markets. Using an economic, trading-based testing framework we find strong economic and statistical … evidence of bond return predictability with a Sharpe ratio of 0.87 since 1950. This finding is robust over markets and time …

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We … changes in macroeconomic and monetary variables. These results differ from an earlier study on bond yields by Ang and Piazzesi …