9. Bond Risk Premium

  1. Antti Ilmanen

Published Online: 25 MAY 2012

DOI: 10.1002/9781118467190.ch9

Expected Returns: An Investor's Guide to Harvesting Market Rewards

Expected Returns: An Investor's Guide to Harvesting Market Rewards

How to Cite

Ilmanen, A. (2011) Bond Risk Premium, in Expected Returns: An Investor's Guide to Harvesting Market Rewards, John Wiley & Sons, Ltd., Chichester, West Sussex, UK. doi: 10.1002/9781118467190.ch9

Publication History

  1. Published Online: 25 MAY 2012
  2. Published Print: 21 MAR 2011

ISBN Information

Print ISBN: 9781119990727

Online ISBN: 9781118467190

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Keywords:

  • bond risk premium;
  • expected return advantage;
  • average returns;
  • expected term premium;
  • short-term securities

Summary

This chapter contains sections titled:

  • Introduction, terminology, and theories

  • Historical average returns

  • Alternative ex ante measures of the BRP

  • Yield curve steepness: important predictive relations

  • Explaining BRP behavior: first targets, then four drivers

  • Tactical forecasting—duration timing

  • Notes