An Extension of the Five-factor Affine Term Structure Model: Predicting Future Bond Returns*
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jang, Ga-Young | - |
dc.contributor.author | Kang, Hyoung-Goo | - |
dc.contributor.author | Lee, Dong-Joon | - |
dc.date.accessioned | 2022-07-06T02:17:30Z | - |
dc.date.available | 2022-07-06T02:17:30Z | - |
dc.date.created | 2022-01-06 | - |
dc.date.issued | 2021-12 | - |
dc.identifier.issn | 2041-9945 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/138494 | - |
dc.description.abstract | We investigate time-varying risk premia in Korean government bonds using a five-factor affine model. The model generates nearly perfectly fitted yields and estimates the bonds' expected returns with more precision than the four-factor model. We also find the statistically significant predictive power of the model for future bond returns using forward rates from cross-sectional and time-series regressions. The predictive power varies in time for bonds with different maturities and reverts to the mean values for short- and long-term bonds, while showing a sign of momentum for medium-term bonds. In out-of-sample exercises, the predictive power is even enhanced when volatility increases. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.title | An Extension of the Five-factor Affine Term Structure Model: Predicting Future Bond Returns* | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kang, Hyoung-Goo | - |
dc.identifier.doi | 10.1111/ajfs.12356 | - |
dc.identifier.scopusid | 2-s2.0-85120338001 | - |
dc.identifier.wosid | 000723905500001 | - |
dc.identifier.bibliographicCitation | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.50, no.6, pp.659 - 689 | - |
dc.relation.isPartOf | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.citation.title | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.citation.volume | 50 | - |
dc.citation.number | 6 | - |
dc.citation.startPage | 659 | - |
dc.citation.endPage | 689 | - |
dc.type.rims | ART | - |
dc.type.docType | Article; Early Access | - |
dc.identifier.kciid | ART002793494 | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordAuthor | Affine term structure model | - |
dc.subject.keywordAuthor | Fixed income asset pricing | - |
dc.subject.keywordAuthor | Return forecasting | - |
dc.identifier.url | https://onlinelibrary.wiley.com/doi/10.1111/ajfs.12356 | - |
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