The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Bond Risk Premia
Abstract
We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one-to five-year maturity bonds with R 2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the return-forecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.
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Citations
Cites
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Self-citation
Cited by
How Sovereign Is Sovereign Credit Risk?
Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J. (2011) · American Economic Journal: Macroeconomics · doi:10.1257/mac.3.2.75 · Cited by 1,083
Forecasting the equity risk premium: the role of technical indicators
Neely, C. J., Rapach, D. E., Tu, J., & Zhou, G. (2014) · Management Science · doi:10.1287/mnsc.2013.1838 · Cited by 1,003
Term structure models and the zero bound: An empirical investigation of Japanese yields
Kim, D. H., & Singleton, K. J. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2011.12.005 · Cited by 281
Bond risk, bond return volatility, and the term structure of interest rates
Viceira, L. M. (2012) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.02.018 · Cited by 136
Metadata
- Authors
- Cochrane, J. H., & Piazzesi, M.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2005-02-01
- Volume
- 95
- Issue
- 1
- Pages
- 138-160
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W3124438330
- Cited by
- 1,474
- References
- 1
- FWCI
- 86.33
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
