Decomposing Expected Bond Returns

10 Pages Posted: 16 Dec 2015

Date Written: December 11, 2015

Abstract

This paper blends the successful decomposition of nominal bond returns by Pflueger and Viceira (2011), with the forecasting factors of Sabol (2015) to conjure up a complete model of risk-free bonds.

Keywords: Bond returns,expected returns, bond risk premia, inflation risk premium, liquidity risk premia

Suggested Citation

Sabol, Steven, Decomposing Expected Bond Returns (December 11, 2015). Available at SSRN: https://ssrn.com/abstract=2704213 or http://dx.doi.org/10.2139/ssrn.2704213

Steven Sabol (Contact Author)

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