Review of Financial Studies Vol. 25 No. 10 2012
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
Abstract
[This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on longterm 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.]
- Volume
- 25
- Issue
- 10
- Pages
- 3141-3168
- Sources
- bibtex:phds-export.bib