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Bond Risk Premia
AMERICAN ECONOMIC REVIEW, no. 1 (2005): 138-160
Abstract
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 countercy...More
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