Browsing Economic and Management Sciences by Subject "Bond premia"

Browsing Economic and Management Sciences by Subject "Bond premia"

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  • Gold, platinum and the predictability of bond risk premia 
    Bouri, Elie; Demirer, Riza; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2021-01)
    We show that the ratio of gold to platinum prices (GP) contains significant predictive information for excess U.S. government bond returns, even after controlling for a large number of financial and macro factors. Including ...
  • The role of an aligned investor sentiment index in predicting bond risk premia of the U.S 
    Cepni, Oguzhan; Guney, I. Ethem; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2020-11)
    In this paper, we develop a new investor sentiment index that is aligned to predict the excess returns on U.S. government bonds that have 2–5 years maturities. The new index is constructed by eliminating a common noise ...
  • Time-varying risk aversion and the predictability of bond premia 
    Cepni, Oguzhan; Demirer, Riza; Gupta, Rangan; Pierdzioch, Christian (Elsevier, 2020-05)
    We show that time-varying risk aversion captures significant predictive information over excess returns on U.S. government bonds even after controlling for a large number of financial and macro factors. Including risk ...