tailieunhanh - Bond Risk Premia

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 R2 up to . The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the returnforecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results | Bond Risk Premia By John H. Cochrane and Monika Piazzesi 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 R2 up to . The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the returnforecasting factor is unrelated to the level slope and curvature movements described by most term structure models. We document that measurement errors do not affect our central results. JEL G0 G1 E0 E4 We study time-varying risk premia in . government bonds. We run regressions of one-year excess returns-borrow at the one-year rate buy a long-term bond and sell it in one year-on five forward rates available at the beginning of the period. By focusing on excess returns we net out inflation and the level of interest rates so we focus directly on real risk premia in the nominal term structure. We find R2 values as high as 44 percent. The forecasts are statistically significant even taking into account the small-sample properties of test statistics and they survive a long list of robustness checks. Most important the pattern of regression coefficients is the same for all maturities. A single return-forecasting factor a single linear combination of forward rates or yields describes time-variation in the expected return of all bonds. This work extends Eugene Fama and Robert Bliss s 1987 and John Campbell and Robert Cochrane Graduate School of Business University of Chicago 5807 S. Woodlawn Ave. Chicago IL 60637 email and NBER Pi-azzesi Graduate School of Business University of Chicago 5807 S. Woodlawn Ave. Chicago IL 60637 e-mail and NBER. We thank Geert Bekaert Michael Brandt Pierre Collin-Dufresne Lars Hansen Bob Hodrick Narayana Kocherlakota .

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