期刊
AMERICAN ECONOMIC REVIEW
卷 95, 期 1, 页码 138-160出版社
AMER ECONOMIC ASSOC
DOI: 10.1257/0002828053828581
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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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