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Out-of-sample bond risk premium predictions: A global common factor · Study

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ArticleOut-of-sample bond risk premium predictions: A global common factor

Xiaoneng Zhu2014

Article2014

Out-of-sample bond risk premium predictions: A global common factor

24 citations·0/0 files stored·Journal of International Money and Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1989Business conditions and expected returns on stocks and bonds 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2006Approximately normal tests for equal predictive accuracy in nested models 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View

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2021Unspanned Global Macro Risks in Bond Returns

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Year2014

Typearticle

Published2014-11-20

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jimonfin.2014.11.004

openalex_workW2000929413

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