Bond market seasonality and business cycles

Predictability in bond returns using technical trading rules

“…A N U S C R I P T 27 1989; Chan and Wu, 1993;Boyd and Mercer, 2010;Chen and Maringer, 2011). Given the rich literature that links performance of bonds and bond portfolios to business cycles, we next examine whether the degree of short-term predictability of bond returns proxied by the success of technical trading rules differs substantially across different phases of the economic cycle.…”