Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset-Allocation Perspective
Year: 2010
Type: report
Abstract: This paper investigates the out-of-sample predictability of bond excess returns.We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy.The results show that the information content of forward rates does not generate systematic economic value to investors.Indeed, these models do not outperform the no-predictability benchmark.Furthermore, their relative performance deteriorates over time.
DOI: 10.20955/wp.2010.034
Authors: Daniel L. Thornton, Giorgio Valente
Institutions: Federal Reserve Bank of St. Louis, University of Essex
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
OpenAlex ID: W4240040690