Subjective Bond Returns and Belief Aggregation

Andrea Buraschi, Ilaria Piatti, Paul Whelan

Research output: Contribution to journalJournal articlepeer-review


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.
Original languageEnglish
JournalReview of Financial Studies
Number of pages32
Publication statusPublished - 20 Oct 2021

Bibliographical note

Epub ahead of print. Published online: 20 October 2021


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

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