Predicting Bond Returns: 70 Years of International Evidence
利用主要债券市场70年数据，通过样本内和样本外测试发现债券回报具有经济上强且统计显著的可预测性，结果稳健且不受市场或宏观经济风险解释，对学者和从业者均有价值。
We use 70 years of international data from the major bond markets to examine bond return predictability through in-sample and out-of-sample tests. Our results reveal economically strong and statistically significant bond return predictability. This finding is robust over markets and time periods, including 30 years of out-of-sample data, prolonged periods of rising or falling rates, and a dataset of nine additional countries. Furthermore, the results are not explained by market or macroeconomic risks, nor can they be easily attributed to transaction costs or other investment frictions. These results reveal predictable dynamics in government bond returns relevant for academics and practitioners.