Bond Risk Premia
研究债券预期超额收益随时间的变化，发现一个帐篷形状的远期利率组合能预测1至5年期债券超额收益，R²高达0.44，该因子具有逆周期特征并能预测股票收益。
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.