Department of Economics and Business Economics

Predicting Bond Betas using Macro-Finance Variables

Research output: Working paper/Preprint Working paperResearch


  • rp17_01

    Final published version, 410 KB, PDF document

  • Nektarios Aslanidis, University Rovira Virgili, Spain
  • Charlotte Christiansen
  • Andrea Cipollini, University of Palermo, Italy
We conduct in-sample and out-of-sample forecasting using the new approach of combining explanatory variables through complete subset regressions (CSR). We predict bond CAPM betas and bond returns conditioning on various macro-fi…nance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high-yield corporate bonds. The CSR method performs well in predicting bond betas, especially in-sample, and, mainly high-yield bond betas when the focus is out-of-sample. Bond returns are less predictable than bond betas.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages32
Publication statusPublished - 11 Jan 2017
SeriesCREATES Research Papers

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