Fear in the 'Fearless' Treasure Market

A paper on the treasury market:

"Fear in the 'Fearless' Treasury Market" (Wang, Wang, Zhang & Zhou, 2024).

MarketPsych's Bond "Fear" predicts U.S. Treasury bond risk premia with strong statistical support (22-30% out-of-sample R²) after controlling for traditional yield curve, macroeconomic, and sentiment predictors.

Sentiment data has a role in fixed income, not just in equities.

🔗 https://lnkd.in/gumPTcWH