Subjective Bond Returns and Belief Aggregation

Andrea Buraschi, Ilaria Piatti, Paul Whelan

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstrakt

This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-sectional distribution and persistence in forecast accuracy. Our aggregate subjective belief proxy outperforms equal weighting schemes, and its dynamics are significantly different from statistical forecasting models. With this measure in hand, we study the relationship between quantities of risk and subjective expectations of excess returns and demonstrate a strong link between the two, even if such a relationship is difficult to detect using realized returns.
OriginalsprogEngelsk
TidsskriftReview of Financial Studies
Antal sider32
ISSN0893-9454
DOI
StatusUdgivet - 20 okt. 2021

Bibliografisk note

Epub ahead of print. Published online: 20 October 2021

Emneord

  • Prices
  • Business Fluctuations
  • Cycles
  • Money and Interest Rates
  • Asset Pricing
  • Trading volume
  • Bond Interest Rates
  • Financial Forecasting and Simulation
  • Behavioral Finance

Citationsformater