Academic Journal of Business & Management, 2021, 3(12); doi: 10.25236/AJBM.2021.031214.
Wenqing Zang
School of Public Affairs Zhejiang University, Zhejiang, China, 310058
On the basis of the traditional CP-LN predictor, author construct a new model to predict bond excess return by adding three new factors from related literature: investor sentiment (BWt), stock market liquidity(LQ) and technical indicator (MAfs) . All three additional factors are significant and the in-sample R2s of the whole model are improved. Besides, author also adopt out-of-sample methods to prove that our model has more excellent forecast power than the benchmark. Finally, based on the empirical finds of the model, author do robust check and successfully form an investing strategy to catch excess return.
Bond risk premium; return predictability; stock market liquidity; investment strategy
Wenqing Zang. The improvement of bond excess return and the revision of the model -- Empirical research Based on the American bond markets. Academic Journal of Business & Management (2021) Vol. 3, Issue 12: 71-79. https://doi.org/10.25236/AJBM.2021.031214.
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