Publication Type
Working Paper
Version
publishedVersion
Publication Date
11-2011
Abstract
While economic variables have been used extensively to forecast the U.S. bond risk premia, little attention has been paid to the use of technical indicators which are widely employed by practitioners. In this paper, we fill this gap by studying the predictive ability of using a variety of technical indicators vis-a-vis the economic variables. We find that the technical indicators have statistically and economically significant in- and out-of-sample forecasting power. Moreover, we find that utilizing information from both technical indicators and economic variables substantially increases the forecasting performances relative to using just economic variables.
Keywords
Bond risk premium predictability, Macroeconomic variables, Moving-average rules, Volume, Out-of-sample forecasts, Principal components
Discipline
Corporate Finance
Research Areas
Finance
Citation
GOH, Choo Yong, Jeremy; Jiang, Fuwei; TU, Jun; and Zhou, Guofu.
Forecasting Bond Risk Premia Using Technical Analysis. (2011).
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3144
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.