We find that augmenting a regression of excess bond returns on the term structure of forward rates with an estimate of the mean realized jump size almost double

This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on forward rates. We find that a single factor pr

We employ an affine term structure model with no-arbitrage restrictions to analyze the global and domestic determinants of bond risk premia in major emerging ma

Forecasting the expected returns on bonds with increasing certainty is wanted from all rational investors in the fixed income markets. The potential for higher