A Factor Analysis of Bond Risk Premia

Authored by: C. Ludvigson Sydney , Ng Serena

Handbook of Empirical Economics and Finance

Print publication date:  December  2010
Online publication date:  April  2016

Print ISBN: 9781420070354
eBook ISBN: 9781420070361
Adobe ISBN:


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The expectations theory of the term structure posits that variables in the information set at time t should have no predictive power for excess bond returns. Consider the predictive regression

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