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 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 retur...
Author(s)
Riccardo Rebonato and Pietro Zanetti

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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