1Graduate School of Business, University of Chicago, 5807 S. Woodlawn Ave., Chicago, IL 60637 and NBER.
Tóm tắt
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 R2 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.
Từ khóa
Tài liệu tham khảo
10.1016/S0304-3932(03)00032-1
10.1016/S0304-405X(97)00007-X
10.2307/2298008
10.1016/S0304-405X(02)00067-3
10.1111/1540-6261.00426
10.1111/j.1467-9965.1996.tb00123.x
Fama Eugene F, 1987, American Economic Review, 77, 680
