Bond Return Predictability: Economic Value and Links to the Macroeconomy
研究了债券收益预测中统计显著但难以转化为经济收益的谜题，发现考虑波动动态和未覆盖宏观因子的三因子模型能提升预测准确性和投资组合表现。
Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such as volatility dynamics and unspanned macro factors. A three-factor model comprising a forward spread, a weighted combination of forward rates, and a macro factor generates notable gains in out-of-sample forecast accuracy compared with a model based on the expectations hypothesis. Such gains in predictive accuracy translate into higher risk-adjusted portfolio returns after accounting for estimation error and model uncertainty. Consistent with models featuring unspanned macro factors, our forecasts of future bond excess returns are strongly negatively correlated with survey forecasts of short rates. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2829 This paper was accepted by Gustavo Manso, finance.