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Macroeconomic Belief Distortions in Bond Returns

https://doi.org/10.2139/ssrn.5006789
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Are preliminary announcements of the money stock rational forecasts?
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Asset pricing with heterogeneous beliefs
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Spot and forward volatility in foreign exchange
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Information aggregation around macroeconomic announcements: Revisions matter
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The term structure of inflation expectations
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X-CAPM: An extrapolative capital asset pricing model
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Disagreement About Inflation and the Yield Curve
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Macro risks and the term structure of interest rates
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Reconstructing the yield curve
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Monetary Policy Expectation Errors
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Predictability in financial markets: What do survey expectations tell us?
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Nowcasting: The real-time informational content of macroeconomic data
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Monetary policy communication, policy slope, and the stock market
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Learning, confidence, and business cycles
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Testing the equality of prediction mean squared errors
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Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
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Monetary policy in a data-rich environment
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A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
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Econometric models of limit-order executions
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Soft Modelling by Latent Variables: The Non-Linear Iterative Partial Least Squares (NIPALS) Approach
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The Economic Value of Predicting Stock Index Returns and Volatility
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Comparing Predictive Accuracy
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In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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New Indexes of Coincident and Leading Economic Indicators
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A Reassessment of Monetary Policy Surprises and High-Frequency Identification
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Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
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High Frequency Identification of Monetary Non-Neutrality: The Information Effect
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Diagnostic Business Cycles
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How Important Are Inflation Expectations for the Nominal Yield Curve?
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Asset Pricing with Fading Memory
inferredcites →https://doi.org/10.1093/rfs/hhab115openalex-snapshot
Subjective Bond Returns and Belief Aggregation
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Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Portfolio Performance Manipulation and Manipulation-proof Performance Measures
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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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An Economic Evaluation of Empirical Exchange Rate Models
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Time-Varying Risk Premiums and the Output Gap
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Macro Factors in Bond Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhp091openalex-snapshot
Heterogeneous Expectations and Bond Markets
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A New Perspective on Gaussian Dynamic Term Structure Models
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Information in (and not in) the Term Structure
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Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
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Issuer Quality and Corporate Bond Returns
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Bond Supply and Excess Bond Returns
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Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
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Expected Returns in Treasury Bonds
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Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.1093/rfs/hhx096openalex-snapshot
Robust Bond Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhx098openalex-snapshot
Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhy051openalex-snapshot
Short-Rate Expectations and Unexpected Returns in Treasury Bonds
inferredcites →https://doi.org/10.1093/rof/rfw044openalex-snapshot
Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-snapshot
Term Premia and Interest Rate Forecasts in Affine Models
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00718.xopenalex-snapshot
Tests of Conditional Predictive Ability
inferredcites →https://doi.org/10.1111/j.1538-4616.2008.00115.xopenalex-snapshot
Data Revisions Are Not Well Behaved
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05223.xopenalex-snapshot
Expectations and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01444.xopenalex-snapshot
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
inferredcites →https://doi.org/10.1111/jofi.12060openalex-snapshot
Market Expectations in the Cross‐Section of Present Values
inferredcites →https://doi.org/10.1111/jofi.12131openalex-snapshot
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
inferredcites →https://doi.org/10.1111/jofi.12833openalex-snapshot
Diagnostic Expectations and Stock Returns
inferredcites →https://doi.org/10.1111/jofi.13120openalex-snapshot
Volatility Expectations and Returns
inferredcites →https://doi.org/10.1111/jofi.13276openalex-snapshot
Interest Rate Skewness and Biased Beliefs
inferredcites →https://doi.org/10.1146/annurev-economics-080511-110857openalex-snapshot
Macroeconomic Analysis Without the Rational Expectations Hypothesis
inferredcites →https://doi.org/10.1162/003355300554692openalex-snapshot
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
inferredcites →https://doi.org/10.1162/jeea.2007.5.2-3.603openalex-snapshot
Sticky Information in General Equilibrium
inferredcites →https://doi.org/10.1198/jbes.2009.07205openalex-snapshot
Real-Time Measurement of Business Conditions
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The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models
inferredcites →https://doi.org/10.1257/0002828053828581openalex-snapshot
Bond Risk Premia
inferredcites →https://doi.org/10.1257/aer.101.4.1514openalex-snapshot
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
inferredcites →https://doi.org/10.1257/aer.103.7.3045openalex-snapshot
News, Noise, and Fluctuations: An Empirical Exploration
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Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts
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Stock Price Booms and Expected Capital Gains
inferredcites →https://doi.org/10.1257/aer.20170792openalex-snapshot
News or Noise? The Missing Link
inferredcites →https://doi.org/10.1257/aer.20171822openalex-snapshot
Interest Rates under Falling Stars
inferredcites →https://doi.org/10.1257/aer.20181219openalex-snapshot
Overreaction in Macroeconomic Expectations
inferredcites →https://doi.org/10.1257/aer.20201220openalex-snapshot
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1257/aer.20201713openalex-snapshot
Belief Distortions and Macroeconomic Fluctuations
inferredcites →https://doi.org/10.1257/mac.20180124openalex-snapshot
The Transmission of Monetary Policy Shocks
inferredcites →https://doi.org/10.1257/mac.4.4.126openalex-snapshot
Why Are Target Interest Rate Changes so Persistent?
inferredcites →https://doi.org/10.1287/mnsc.2013.1806openalex-snapshot
From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return
inferredcites →https://doi.org/10.1287/mnsc.2020.3852openalex-snapshot
Unspanned Global Macro Risks in Bond Returns
inferredcites →https://doi.org/10.21144/wp19-14openalex-snapshot
Survey Data and Subjective Beliefs in Business Cycle Models
inferredcites →https://doi.org/10.2139/ssrn.1069582openalex-snapshot
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
inferredcites →https://doi.org/10.2139/ssrn.1704145openalex-snapshot
Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts
inferredcites →https://doi.org/10.2139/ssrn.1738512openalex-snapshot
Why are Target Interest Rate Changes so Persistent?
inferredcites →https://doi.org/10.2139/ssrn.1752543openalex-snapshot
Market Expectations in the Cross Section of Present Values
inferredcites →https://doi.org/10.2139/ssrn.194748openalex-snapshot
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
inferredcites →https://doi.org/10.2139/ssrn.2175150openalex-snapshot
Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.2307563openalex-snapshot
Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.2139/ssrn.241213openalex-snapshot
The Economic Value of Predicting Stock Index Returns and Volatility
inferredcites →https://doi.org/10.2308/accr-51528openalex-snapshot
Predicting Restatements in Macroeconomic Indicators Using Accounting Information
inferredcites →https://doi.org/10.3386/w25127openalex-snapshot
Post-FOMC Announcement Drift in U.S. Bond Markets
inferredcites →https://doi.org/10.3386/w6442openalex-snapshot
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory
inferredcites →https://doi.org/10.3982/ecta10008openalex-snapshot
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