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- W4376849508 abstract "This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy. The results show that the information content of forward rates does not generate systematic economic value to investors. Indeed, these models do not outperform the no-predictability benchmark. Furthermore, their relative performance deteriorates over time." @default.
- W4376849508 created "2023-05-18" @default.
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- W4376849508 date "2012-07-17" @default.
- W4376849508 modified "2023-10-17" @default.
- W4376849508 title "Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective" @default.
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- W4376849508 doi "https://doi.org/10.1093/rfs/hhs069" @default.
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