Rationality and Subjective Bond Risk Premia

Andrea Buraschi, Ilaria Piatti, Paul Whelan

Publikation: KonferencebidragPaperForskningpeer review

Abstract

We construct and study the cross-sectional properties of survey-based bond risk premia and compare them to traditional statistical counterparts. We document large heterogeneity in skill, identify top forecasters, and learn about the importance of subjective risk premia in long-term bonds dynamics. Next, we propose a new real-time aggregate measure of bond risk premia consistent with Friedman’s market selection hypothesis. Finally, we use this measure to evaluate behavioural versus rational explanations of subjective risk premia and find support for models that include both sentiment and time-varying quantity of risk channels.
OriginalsprogEngelsk
Publikationsdato2018
Antal sider65
StatusUdgivet - 2018
BegivenhedSFS Cavalcade North America 2018 - Yale University, New Haven, USA
Varighed: 21 maj 201824 maj 2018
http://sfs.org/financecavalcades/2018-sfs-finance-cavalcade/

Konference

KonferenceSFS Cavalcade North America 2018
LokationYale University
Land/OmrådeUSA
ByNew Haven
Periode21/05/201824/05/2018
Internetadresse

Emneord

  • Rational expectations
  • Beliefs
  • Bond risk premia

Citationsformater