Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability

Eric Ghysels, Casidhe Horan and Emanuel Moench

The Review of Financial Studies, 2018, vol. 31, issue 2, 678-714

Abstract: A previous literature has documented that bond returns are predicted by macroeconomic information not contained in yields contemporaneously. That literature has mostly relied on final revised, rather than real time macroeconomic data. We show that the use of real time data substantially reduces the predictive power of macro variables for future bond returns as well as the implied countercyclicality of term premiums. We discuss potential interpretations of our results. Received January 26, 2014; editorial decision June 16, 2017 by Editor Geert Bekaert.

JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (45)

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Working Paper: Forecasting through the rear-view mirror: data revisions and bond return predictability (2012)
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