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 …

Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

Expectations theories of asset returns may be interpreted either as stating that risk premia
are zero or that they are constant through time. Under the former interpretation, different …

We find that augmenting a regression of excess bond returns on the term structure of forward
rates with an estimate of the mean realized jump size almost doubles the R2 of the …

We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …

Predictable variations in excess returns have often been attributed to the presence of time-
varying risk premia. In this paper, we use an insight based upon new techniques from time …

We study risk premium in US Treasury bonds. We decompose Treasury yields into inflation
expectations and maturity-specific interest-rate cycles, which we define as variation in yields …

This paper explores the time variation in the bond risk, as measured by the covariation of
bond returns with stock returns and consumption growth, and in the volatility of bond returns …

Conditional maximum Sharpe ratios implied by fully flexible four-factor and five-factor
Gaussian term structure models are astronomically high. Estimation of term structure models …