摘要 : Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the innova... 展开
作者 | Fricke~ Christoph Menkhoff~ Lukas |
---|---|
作者单位 | |
期刊名称 | 《Journal of banking & finance》 |
页码/总页数 | 80-94 / 15 |
语种 | 英语 |
关键词 | Financial conditions Bond excess returns Term premia |
DOI | 10.1016/j.jbankfin.2015.03.015 |
馆藏号 | F-139 |