dc.contributor.author |
Cepni, Oguzhan
|
|
dc.contributor.author |
Demirer, Riza
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Pierdzioch, Christian
|
|
dc.date.accessioned |
2019-08-16T08:51:12Z |
|
dc.date.issued |
2020-05 |
|
dc.description.abstract |
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 aversion improves the predictive accuracy at all horizons (one- to twelve-months ahead) for shorter maturity bonds and at shorter forecast horizons (one- to three-months ahead) for longer maturity bonds. Given the role of Treasury securities in economic forecasting models and portfolio allocation decisions, our findings have significant implications for investors, policymakers and researchers interested in accurately forecasting return dynamics for these assets. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2021-05-01 |
|
dc.description.librarian |
hj2019 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/frl |
en_ZA |
dc.identifier.citation |
Çepni, O., Demirer, R., Gupta, R. et al. 2020, 'Time-varying risk aversion and the predictability of bond premia', Finance Research Letters, vol. 34, art. 101241. |
en_ZA |
dc.identifier.issn |
1544-6123 (print) |
|
dc.identifier.issn |
1544-6131 (online) |
|
dc.identifier.other |
10.1016/j.frl.2019.07.014 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/71118 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2019 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 34, art. 101241, 2020. doi : 10.1016/j.frl.2019.07.014. |
en_ZA |
dc.subject |
Bond premia |
en_ZA |
dc.subject |
Predictability |
en_ZA |
dc.subject |
Risk aversion |
en_ZA |
dc.subject |
Out-of-sample forecasts |
en_ZA |
dc.title |
Time-varying risk aversion and the predictability of bond premia |
en_ZA |
dc.type |
Postprint Article |
en_ZA |