PT  - JOURNAL ARTICLE
AU  - Riccardo Rebonato
AU  - Pietro Zanetti
TI  - Does the Cochrane-Piazzesi Factor Predict? An International Resampling Perspective
AID  - 10.3905/jfi.2023.1.156
DP  - 2023 Feb 02
TA  - The Journal of Fixed Income
PG  - jfi.2023.1.156
4099  - https://pm-research.com/content/early/2023/02/02/jfi.2023.1.156.short
4100  - https://pm-research.com/content/early/2023/02/02/jfi.2023.1.156.full
AB  - We 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. We find that i) it accounts for excess returns better than the slope; ii) it has a better economic performance than the slope factor and the unconditional “long-always” strategy; iii) its outperformance is not due to overfitting; and iv) it retains its greater predictive abilities out of sample.