Real-time Economic Data and Future T-note Returns [PREMIUM]
Posted on December 03, 2012 at 06:06 AM EST
What pitfalls face forecasters trying to predict financial markets with economic data series? In their November 2012 preliminary paper entitled “Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability”, Eric Ghysels, Casidhe Horan and Emanuel Moench examine the predictive power of economic data to predict annual returns for U.S. Treasury notes (T-note) with constant More...