Subjective Bond Returns and Belief Aggregation

• 成果类型: Article
• 署名作者: Buraschi, Andrea; Piatti, Ilaria; Whelan, Paul
• 署名单位: Imperial College London; University of London; Queen Mary University London; Copenhagen Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab115
• 发表日期: 2022
• 页码: 3710
• 关键词: term structure; expectations; predictability; explanation; combination; performance; MODEL; habit

摘要

This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-sectional distribution and persistence in forecast accuracy. Our aggregate subjective belief proxy outperforms equal weighting schemes, and its dynamics are significantly different from statistical forecasting models. With this measure in hand, we study the relationship between quantities of risk and subjective expectations of excess returns and demonstrate a strong link between the two, even if such a relationship is difficult to detect using realized returns.