Publication Type

Working Paper

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

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