PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?

R. Rebonato ()
Additional contact information
R. Rebonato: EDHEC Risk Institute — EDEHC Business School, 10 Fleet Place, London, UK

International Journal of Theoretical and Applied Finance (IJTAF), 2018, vol. 21, issue 07, 1-13

Abstract: We look at the economic significance and at the robustness of the new-generation, tent-shaped return-predicting factors in US Treasuries. We find that, in itself, the precise tent shape is neither robust nor important for predictability. However, we explain why the high number of regressors needed to build a tent factor are required for high predictability, and we provide an economic interpretation for the finding.

Keywords: Risk premia; asset pricing; bond pricing (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024918500474
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:21:y:2018:i:07:n:s0219024918500474

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024918500474

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().