Thornton, DL and Valente, G (2012) Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective. Review of Financial Studies, 25 (10). pp. 3141-3168. DOI https://doi.org/10.1093/rfs/hhs069
Thornton, DL and Valente, G (2012) Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective. Review of Financial Studies, 25 (10). pp. 3141-3168. DOI https://doi.org/10.1093/rfs/hhs069
Thornton, DL and Valente, G (2012) Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective. Review of Financial Studies, 25 (10). pp. 3141-3168. DOI https://doi.org/10.1093/rfs/hhs069
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 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.
Item Type: | Article |
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Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 30 Aug 2013 15:01 |
Last Modified: | 16 May 2024 18:53 |
URI: | http://repository.essex.ac.uk/id/eprint/5312 |