Predicting bond betas using macro-finance variables

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  • Nektarios Aslanidis, Universitat Rovira i Virgili
  • ,
  • Charlotte Christiansen
  • Andrea Cipollini, University of Palermo

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables through complete subset regressions (CSR). We consider the robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizons. The CSR method performs well in predicting bond betas.

OriginalsprogEngelsk
TidsskriftFinance Research Letters
Vol/bind29
Sider (fra-til)193-199
ISSN1544-6123
DOI
StatusUdgivet - jun. 2019

Bibliografisk note

AM haves fra Elsevier

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