Fixed income instruments, including corporate and government bonds.
ChatGPT can classify Federal Reserve policy tone and identify monetary shocks with high accuracy—matching or outperforming traditional methods. The paper shows GPT-4 can replicate expert-level reasoning, offering a powerful tool for analyzing central bank communication.
ChatGPT can predict future UK interest rate decisions by analyzing central bank speeches—turning policy tone into a reliable forecasting signal.
When the euro gets stronger, European investors tend to sell government bonds from emerging countries if those bonds are in the local currencies of those countries. They do this because a stronger euro means those investments are now worth less to them, even if countries themselves aren’t riskier.
This paper shows that investors with limited ability to borrow tend to chase high-risk assets. As a result, low-risk (low-beta) assets offer better risk-adjusted returns. A strategy that goes long low-beta assets and shorts high-beta ones—called “Betting Against Beta”—consistently beats the market.
Macroeconomic uncertainty isn’t just noise—it reshapes bond risk premia and pricing.
Equity market factors like size, profitability, and past returns can predict corporate bond returns,
Want better bond return forecasts? This paper finds a new factor that improves risk premium estimates, making Treasury bond investing more precise.
Less than 43% of stocks beat Treasury bills, and just 4% account for all market gains. 🚀📊