Bond risk premia
JH Cochrane, M Piazzesi - American economic review, 2005 - aeaweb.org
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 …
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …
[PDF][PDF] BOND RISK PREMIA
JH Cochrane, M Piazzesi - 2002 - scholar.archive.org
This paper studies time variation in expected excess bond returns. We run regressions of
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
Bond Risk Premia
JH Cochrane, M Piazzesi - American Economic Review, 2005 - JSTOR
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 …
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …
Bond Risk Premia
JH Cochrane, M Piazzesi - NBER Working Paper, 2002 - papers.ssrn.com
This paper studies time variation in expected excess bond returns. We run regressions of
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
[PDF][PDF] Bond Risk Premia
JH Cochrane, M Piazzesi - 2001 - leeds-faculty.colorado.edu
This paper studies risk premia in the term structure. We start with regressions of annual
holding period returns on forward rates. We find that a single factor, which is a tent-shaped …
holding period returns on forward rates. We find that a single factor, which is a tent-shaped …
Bond Risk Premia
J Cochrane, M Piazzesi - American Economic Review, 2005 - econpapers.repec.org
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 …
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …
Bond Risk Premia
JH Cochrane, M Piazzesi - The American Economic Review, 2005 - search.proquest.com
We study time variation in expected excess bond returns. We run regressions on one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …
[PDF][PDF] BOND RISK PREMIA
JH Cochrane, M Piazzesi - 2002 - stanford.edu
This paper studies time variation in expected excess bond returns. We run regressions of
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
[PDF][PDF] BOND RISK PREMIA
JH Cochrane, M Piazzesi - 2002 - core.ac.uk
This paper studies time variation in expected excess bond returns. We run regressions of
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
Bond Risk Premia
JH Cochrane, M Piazzesi - 2002 - nber.org
This paper studies time variation in expected excess bond returns. We run regressions of
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …
annual excess returns on forward rates. We find that a single factor predicts 1-year excess …