Time-varying risk aversion and the predictability of bond premia

dc.contributor.authorCepni, Oguzhan
dc.contributor.authorDemirer, Riza
dc.contributor.authorGupta, Rangan
dc.contributor.authorPierdzioch, Christian
dc.date.accessioned2019-08-16T08:51:12Z
dc.date.issued2020-05
dc.description.abstractWe 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.departmentEconomicsen_ZA
dc.description.embargo2021-05-01
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.elsevier.com/locate/frlen_ZA
dc.identifier.citationÇepni, 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.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2019.07.014
dc.identifier.urihttp://hdl.handle.net/2263/71118
dc.language.isoenen_ZA
dc.publisherElsevieren_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.subjectBond premiaen_ZA
dc.subjectPredictabilityen_ZA
dc.subjectRisk aversionen_ZA
dc.subjectOut-of-sample forecastsen_ZA
dc.titleTime-varying risk aversion and the predictability of bond premiaen_ZA
dc.typePostprint Articleen_ZA

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