Bond returns and market expectations
“We show how this information can be exploited to produce accurate forecasts of bond excess returns and to construct profitable investment strategies in bond markets.”
AssetBonds and creditfutures, bonds
StrategyMacro signals
ClaimExcess returnprofit
InputsMacro
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
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