TY - JOUR T1 - Does the Cochrane-Piazzesi Factor Predict? An International Resampling Perspective JF - The Journal of Fixed Income DO - 10.3905/jfi.2023.1.156 SP - jfi.2023.1.156 AU - Riccardo Rebonato AU - Pietro Zanetti Y1 - 2023/02/02 UR - https://pm-research.com/content/early/2023/02/02/jfi.2023.1.156.abstract N2 - 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. ER -