Bond Risk Premia
收藏NBER2002-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w9178
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资源简介：
This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on forward rates. We find that a single factor predicts 1-year excess returns on 1-5 year maturity bonds with an R2 up to 43%. The single factor is a tent-shaped linear function of forward
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美国国家经济研究局创建时间：
2002-09-01
