Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective

• 成果类型: Article
• 署名作者: Thornton, Daniel L.; Valente, Giorgio
• 署名单位: University of Essex; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs069
• 发表日期: 2012
• 页码: 3141
• 关键词: term structure; expectations hypothesis; ECONOMIC VALUE; volatility; INFORMATION; models; STOCK; tests; regressions; BEHAVIOR

摘要

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.