Concepedia

Bond Return Forecasting

Bond Return Forecasting is a quantitative method within fixed income analytics that predicts future returns of bond securities by modeling the expected changes in yield, credit spreads, and interest rate dynamics, distinguished from other forecasting approaches by its focus on the term structure and cash flow characteristics inherent to debt instruments.

173

Publications

14.5K

Citations

305

Authors

244

Institutions

Publications per year

2017–2026

47

Parents

Publications

173

Predicting returns in the stock and bond markets

Donald B. Keim, Robert F. Stambaugh · Journal of Financial Economics · 1986 · 1.8K citations · Full text

, , +17

The Information in Long-Maturity Forward Rates

Eugene F. Fama, Robert R. Bliss · American Economic Review · 1987 · 1.6K citations

, , +16

Bond Risk Premia

John H. Cochrane, Monika Piazzesi · American Economic Review · 2005 · 1.5K citations

, , +16

Forecasts of Economic Growth from the Bond and Stock Markets

Campbell R. Harvey · Financial Analysts Journal · 1989 · 442 citations

, , +16

Bond Risk Premiums with Machine Learning

Daniele Bianchi, Matthias Büchner, Andrea Tamoni · Review of Financial Studies · 2020 · 411 citations

, , +17

1–5 of 173

Authors

305

  1. RM
    Ricardo M. Sousa

    University of Minho, Portugal

    5 publications · 108 citations

    5

    h-index

  2. AC
    Anna Cieślak

    Duke University, United States

    5 publications · 557 citations

    5

    h-index

  3. JH
    Jonathan H. Wright

    Johns Hopkins University, United States

    4 publications · 209 citations

    4

    h-index

  4. DG
    David G. McMillan

    University of Stirling, United Kingdom

    4 publications · 137 citations

    4

    h-index

  5. GZ
    Guofu Zhou

    Washington University in St. Louis, United States

    4 publications · 202 citations

    4

    h-index

1–5 of 305

Institutions

244

  1. National Bureau of Economic Research

    Cambridge, United States

    10 h-index

    14 publications

    1.1K citations

  2. Aarhus University

    Aarhus, Denmark

    7 h-index

    11 publications

    262 citations

  3. Federal Reserve

    Washington D.C., United States

    6 h-index

    6 publications

    290 citations

  4. University of Minho

    Braga, Portugal

    5 h-index

    6 publications

    123 citations

  5. European Central Bank

    Frankfurt am Main, Germany

    5 h-index

    5 publications

    223 citations

  6. University of California, Berkeley

    Berkeley, United States

    5 h-index

    5 publications

    287 citations

  7. University at Buffalo, State University of New York

    Buffalo, United States

    4 h-index

    4 publications

    183 citations

  8. Fudan University

    Shanghai, China

    4 h-index

    5 publications

    114 citations

1–8 of 244

Venues

  1. SSRN Electronic Journal

    Repository · 40 publications · 1.8K citations

    19

    h-index

  2. Review of Financial Studies

    9 publications · 1.6K citations

    9

    h-index

  3. Financial Analysts Journal

    FAJ · 6 publications · 895 citations

    6

    h-index

  4. The Journal of Finance

    6 publications · 527 citations

    6

    h-index

  5. Journal of Banking & Finance

    6 publications · 308 citations

    6

    h-index

1–5