We use 70 years of international data from the major bond markets to examine bond return predictability through in-sample and out-of-sample tests. Our results reveal economically strong and statistically significant bond return predictability. This finding is robust over markets and time periods, including 30 years of out-of-sample data, prolonged periods of rising or falling rates, and a dataset of nine additional countries. Furthermore, the results are not explained by market or macroeconomic risks, nor can they be easily attributed to transaction costs or other investment frictions. These results reveal predictable dynamics in government bond returns relevant for academics and practitioners.

我们使用来自主要债券市场的 70 年国际数据，通过样本内和样本外测试来检验债券回报的可预测性。我们的结果揭示了经济上强大且统计上显着的债券回报可预测性。这一发现在市场和时间段内都是稳健的，包括 30 年的样本外数据、长期上升或下降的利率以及另外九个国家的数据集。此外，结果不能用市场或宏观经济风险来解释，也不能轻易归因于交易成本或其他投资摩擦。这些结果揭示了与学者和从业者相关的政府债券回报的可预测动态。