Predicting Bond Returns: 70 Years of International Evidence

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