Expected Business Conditions and Bond Risk Premia
利用专业预测者调查中的预期数据，研究预期商业状况对债券风险溢价的预测能力，发现其能显著改善传统模型的预测效果，并在实时样本外检验中得到验证。
In this article, I study the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecasters. I show that expected business conditions consistently affect excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve forecast performance relative to models using information derived from the current term structure or macroeconomic variables. The results are confirmed in a real-time out-of-sample exercise, where the predictive accuracy of the models is evaluated both statistically and from the perspective of a mean-variance investor that trades in the bond market.