Publication Type

Conference Paper

Publication Date

7-2013

Abstract

While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables. We find that technical indicators have significant in both in- and out-of-sample forecasting power. Moreover, we find that using information from both technical indicators and economic variables increases the forecasting performance substantially. We also find that the economic value of bond risk premia forecasts from our methodology is comparable to that of equity risk premium forecasts.

Keywords

Bond risk premium predictability, Economic variables, Technical analysis, Moving average rules, Volume, Out-of-sample forecasts, Principal components

Discipline

Finance | Finance and Financial Management

Research Areas

Finance

Publication

25th Australasian Finance and Banking Conference 2012, Sydney Australia, 2013 July 28

Identifier

10.2139/ssrn.1914227

Publisher

SSRN

City or Country

Sydney, Australia

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.2139/ssrn.1914227

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