Bond risk premia and the return forecasting factor

Autores
Gutierrez, Agustin; Hevia, Constantino; Sola, Martin
Año de publicación
2020
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this single factor actually captures all the relevant fluctuations in bond risk premia, then it should also summarize all the economically relevant variations in excess returns considering different holding periods. We find that it does not. We conclude that including the return forecasting factor as the main driver of risk premia in a term structure model, as has been suggested, is not supported by the data.
Fil: Gutierrez, Agustin. University of Chicago; Estados Unidos
Fil: Hevia, Constantino. Universidad Torcuato Di Tella. Departamento de Economía; Argentina
Fil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
AFFINE TERM STRUCTURE MODELS
BOND RISK PREMIA
EXCESS RETURNS
RETURN FORECASTING FACTOR
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/168093
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/168093
network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling Bond risk premia and the return forecasting factorGutierrez, AgustinHevia, ConstantinoSola, MartinAFFINE TERM STRUCTURE MODELSBOND RISK PREMIAEXCESS RETURNSRETURN FORECASTING FACTORhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this single factor actually captures all the relevant fluctuations in bond risk premia, then it should also summarize all the economically relevant variations in excess returns considering different holding periods. We find that it does not. We conclude that including the return forecasting factor as the main driver of risk premia in a term structure model, as has been suggested, is not supported by the data.Fil: Gutierrez, Agustin. University of Chicago; Estados UnidosFil: Hevia, Constantino. Universidad Torcuato Di Tella. Departamento de Economía; ArgentinaFil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaDe Gruyter2020-02info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/168093Gutierrez, Agustin; Hevia, Constantino; Sola, Martin; Bond risk premia and the return forecasting factor; De Gruyter; Studies In Nonlinear Dynamics And Econometrics; 2-2020; 1-121081-1826CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/view/j/snde.2019.24.issue-1/snde-2018-0009/snde-2018-0009.xml?format=INTinfo:eu-repo/semantics/altIdentifier/doi/10.1515/snde-2018-0009info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-15T14:25:48Zoai:ri.conicet.gov.ar:11336/168093instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-15 14:25:49.034CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Bond risk premia and the return forecasting factor
title Bond risk premia and the return forecasting factor
spellingShingle Bond risk premia and the return forecasting factor
Gutierrez, Agustin
AFFINE TERM STRUCTURE MODELS
BOND RISK PREMIA
EXCESS RETURNS
RETURN FORECASTING FACTOR
title_short Bond risk premia and the return forecasting factor
title_full Bond risk premia and the return forecasting factor
title_fullStr Bond risk premia and the return forecasting factor
title_full_unstemmed Bond risk premia and the return forecasting factor
title_sort Bond risk premia and the return forecasting factor
dc.creator.none.fl_str_mv Gutierrez, Agustin
Hevia, Constantino
Sola, Martin
author Gutierrez, Agustin
author_facet Gutierrez, Agustin
Hevia, Constantino
Sola, Martin
author_role author
author2 Hevia, Constantino
Sola, Martin
author2_role author
author
dc.subject.none.fl_str_mv AFFINE TERM STRUCTURE MODELS
BOND RISK PREMIA
EXCESS RETURNS
RETURN FORECASTING FACTOR
topic AFFINE TERM STRUCTURE MODELS
BOND RISK PREMIA
EXCESS RETURNS
RETURN FORECASTING FACTOR
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this single factor actually captures all the relevant fluctuations in bond risk premia, then it should also summarize all the economically relevant variations in excess returns considering different holding periods. We find that it does not. We conclude that including the return forecasting factor as the main driver of risk premia in a term structure model, as has been suggested, is not supported by the data.
Fil: Gutierrez, Agustin. University of Chicago; Estados Unidos
Fil: Hevia, Constantino. Universidad Torcuato Di Tella. Departamento de Economía; Argentina
Fil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this single factor actually captures all the relevant fluctuations in bond risk premia, then it should also summarize all the economically relevant variations in excess returns considering different holding periods. We find that it does not. We conclude that including the return forecasting factor as the main driver of risk premia in a term structure model, as has been suggested, is not supported by the data.
publishDate 2020
dc.date.none.fl_str_mv 2020-02
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/168093
Gutierrez, Agustin; Hevia, Constantino; Sola, Martin; Bond risk premia and the return forecasting factor; De Gruyter; Studies In Nonlinear Dynamics And Econometrics; 2-2020; 1-12
1081-1826
CONICET Digital
CONICET
url http://hdl.handle.net/11336/168093
identifier_str_mv Gutierrez, Agustin; Hevia, Constantino; Sola, Martin; Bond risk premia and the return forecasting factor; De Gruyter; Studies In Nonlinear Dynamics And Econometrics; 2-2020; 1-12
1081-1826
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/view/j/snde.2019.24.issue-1/snde-2018-0009/snde-2018-0009.xml?format=INT
info:eu-repo/semantics/altIdentifier/doi/10.1515/snde-2018-0009
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv De Gruyter
publisher.none.fl_str_mv De Gruyter
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1846082696898412544
score 13.22299

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