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Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability

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  • Eric Ghysels
  • Casidhe Horan
  • Emanuel Moench

Abstract

A previous literature has documented that bond returns are predicted by macroeconomic information not contained in yields contemporaneously. That literature has mostly relied on final revised, rather than real time macroeconomic data. We show that the use of real time data substantially reduces the predictive power of macro variables for future bond returns as well as the implied countercyclicality of term premiums. We discuss potential interpretations of our results. Received January 26, 2014; editorial decision June 16, 2017 by Editor Geert Bekaert.

Suggested Citation

  • Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
    • Handle: RePEc:oup:rfinst:v:31:y:2018:i:2:p:678-714.
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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