Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 20, 2020 erstellt
Beschreibung:
The existing literature finds that information not captured by traditional term structure factors helps predict excess bond returns. When estimating no-arbitrage affine term structure models, aligning in-sample and out-of-sample objective functions results in term structure factors that capture information that remains hidden from existing approaches. Specifically, the estimates of the third term structure factor radically differ and are related to the fourth principal component, which helps forecast bond returns. The new objective function leads to substantial improvements in forecasting performance. It also results in higher model term premiums and lower expected future short rates