Research and publications
Does the Cochrane-Piazzesi Factor Predict? An International Resampling Perspective
The Journal of Fixed Income Spring 2023
Authors employ the state-of-the-art resampling procedure designed by C ...
Author(s):
Riccardo Rebonato and Pietro Zanetti
Summary:
The Journal of Fixed Income Spring 2023
Authors employ the state-of-the-art resampling procedure designed by Crump and Gospodinov (2019) to assess the predictive ability of the benchmark Cochrane-Piazzesi return-predicting factor in four important Treasury markets.
They find that:
- it accounts for excess returns better than the slope;
- it has a better economic performance than the slope factor and the unconditional “long-always” strategy;
- its outperformance is not due to overfitting;
- it retains its greater predictive abilities out of sample.
Riccardo Rebonato is professor of finance at EDHEC Business School, and scientific director of EDHEC-Risk Climate Impact Institute
Pietro Zanetti is an MSc student at EDHEC Business School
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| Date : | 07/02/2023 |
| Editor : | Pageant Media |
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