Lin, Hai
[VerfasserIn]
;
Liu, Liya
[Sonstige Person, Familie und Körperschaft];
Su, Hao
[Sonstige Person, Familie und Körperschaft];
Zhu, Xiaoneng
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 31, 2019 erstellt
Beschreibung:
We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury bonds. We find that the predictive power of this factor is both statistically significant and economically important and is not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster risk accounts for a sizable portion of variations in the time-varying bond risk premium