Table 10 In-sample predictability of stock and bond market excess returns

h=1

h=3

h=6

h=12

Predictor

\(\hat {\beta }\)

R²(%)

\(\hat {\beta }\)

R²(%)

\(\hat {\beta }\)

R²(%)

\(\hat {\beta }\)

R²(%)

GVD²⁵

0.19

0.23

0.33

1.57

0.41*

4.20

0.48*

10.00

(0.82)

(1.55)

(2.06)

(2.66)

GVD⁷⁵

0.40*

1.00

0.51**

3.82

0.57**

8.29

0.59**

14.77

(1.56)

(2.40)

(3.28)

(4.02)

Bond market return

h=1

h=3

h=6

h=12

Predictor

\(\hat {\beta }\)

R²(%)

\(\hat {\beta }\)

R²(%)

\(\hat {\beta }\)

R²(%)

\(\hat {\beta }\)

R²(%)

GVD²⁵

0.06

0.44

0.03

0.35

0.03

0.58

0.02

0.65

(0.89)

(0.53)

(0.63)

(0.52)

GVD⁷⁵

0.02

0.03

0.02

0.09

0.03

0.64

0.03

0.94

(0.28)

(0.29)

(0.63)

(0.60)