Forecasting Bond Risk Premia Using Technical Analysis

Forecasting Bond Risk Premia Using Technical Analysis

While economic variables have been used extensively to forecast the U.S. bond risk premia, little attention has been paid to the use of technical indicators which are widely employed by practitioners. In this paper, we fill this gap by studying the predictive ability of using a variety of technical i...

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Bibliographic Details
Main Authors: GOH, Choo Yong, Jeremy, Jiang, Fuwei, TU, Jun, Zhou, Guofu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Bond risk premium predictability
Macroeconomic variables
Moving-average rules
Volume
Out-of-sample forecasts
Principal components
Corporate Finance
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3144
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4143/viewcontent/Bond_tech_11_30_2011.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:While economic variables have been used extensively to forecast the U.S. bond risk premia, little attention has been paid to the use of technical indicators which are widely employed by practitioners. In this paper, we fill this gap by studying the predictive ability of using a variety of technical indicators vis-a-vis the economic variables. We find that the technical indicators have statistically and economically significant in- and out-of-sample forecasting power. Moreover, we find that utilizing information from both technical indicators and economic variables substantially increases the forecasting performances relative to using just economic variables.

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