Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
研究了基于长期远期利率的实证模型在动态资产配置策略中预测债券超额收益的经济价值，发现远期利率信息未给投资者带来系统性收益，且模型表现随时间恶化。
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. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.