| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23480 |
| 来源ID | Working Paper 23480 |
| Robust Bond Risk Premia | |
| Michael D. Bauer; James D. Hamilton | |
| 发表日期 | 2017-06-05 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a novel bootstrap procedure specifically designed to test the spanning hypothesis. We revisit the analysis in six published studies and find that the evidence against the spanning hypothesis is much weaker than it originally appeared. Our results pose a serious challenge to the prevailing consensus. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w23480 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581154 |
| 推荐引用方式 GB/T 7714 | Michael D. Bauer,James D. Hamilton. Robust Bond Risk Premia. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23480.pdf（521KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
