Department of Economics and Business Economics

Predicting Bond Betas using Macro-Finance Variables

Research output: Working paper/Preprint Working paper

Standard

Predicting Bond Betas using Macro-Finance Variables. / Aslanidis, Nektarios; Christiansen, Charlotte; Cipollini, Andrea.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

Research output: Working paper/Preprint Working paper

Harvard

Aslanidis, N, Christiansen, C & Cipollini, A 2017 'Predicting Bond Betas using Macro-Finance Variables' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Aslanidis, N., Christiansen, C., & Cipollini, A. (2017). Predicting Bond Betas using Macro-Finance Variables. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2017-01

CBE

Aslanidis N, Christiansen C, Cipollini A. 2017. Predicting Bond Betas using Macro-Finance Variables. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Aslanidis, Nektarios, Charlotte Christiansen and Andrea Cipollini Predicting Bond Betas using Macro-Finance Variables. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2017-01). 2017., 32 p.

Vancouver

Aslanidis N, Christiansen C, Cipollini A. Predicting Bond Betas using Macro-Finance Variables. Aarhus: Institut for Økonomi, Aarhus Universitet. 2017 Jan 11.

Author

Aslanidis, Nektarios ; Christiansen, Charlotte ; Cipollini, Andrea. / Predicting Bond Betas using Macro-Finance Variables. Aarhus : Institut for Økonomi, Aarhus Universitet, 2017. (CREATES Research Papers; No. 2017-01).

Bibtex

@techreport{d064b933b5264a24b6312520a623abb9,
title = "Predicting Bond Betas using Macro-Finance Variables",
abstract = "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. ",
keywords = "bond betas, complete subset regressions, corporate bonds, macro-…finance variables, model confi…dence set, risk-return trade-off",
author = "Nektarios Aslanidis and Charlotte Christiansen and Andrea Cipollini",
year = "2017",
month = jan,
day = "11",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2017-01",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Predicting Bond Betas using Macro-Finance Variables

AU - Aslanidis, Nektarios

AU - Christiansen, Charlotte

AU - Cipollini, Andrea

PY - 2017/1/11

Y1 - 2017/1/11

N2 - 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.

AB - 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.

KW - bond betas, complete subset regressions, corporate bonds, macro-…finance variables, model confi…dence set, risk-return trade-off

M3 - Working paper

T3 - CREATES Research Papers

BT - Predicting Bond Betas using Macro-Finance Variables

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -