Journal
REVIEW OF FINANCIAL STUDIES
Volume 25, Issue 10, Pages 3141-3168Publisher
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhs069
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This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy. The results show that the information content of forward rates does not generate systematic economic value to investors. Indeed, these models do not outperform the no-predictability benchmark. Furthermore, their relative performance deteriorates over time.
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