{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T23:40:46Z","timestamp":1792798846036,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":72,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>As the risks of government bonds vary over time, does the compensation that investors require for holding them change? While realized excess returns show little relation to bond risk, we find that subjective expected excess returns constructed from professional forecasts of future long-term yields are tightly linked to bonds' stock market betas, consistent with a CAPM-style relation. In a U.S. month-by-maturity panel from 1988-2024, the correlation of subjective excess returns with rolling bond-stock betas is 66%. The estimated market price of risk is comparable to the equity premium and stable when controlling for time and maturity fixed effects. Realized excess returns are predicted by subjective excess returns, but this predictability is driven by higher-frequency variation and not by betas. Similar results hold in an international panel of developed countries from 1989-2024. The change in betas from positive to negative accounts for half of the decline in long-term U.S. Treasury yields from the 1980s to the 2010s and implies a negative term premium as early as 2001. During quantitative easing episodes, the price of bond risk declines, suggesting an increased investor willingness to bear risk.<\/jats:p>","DOI":"10.2139\/ssrn.7059018","type":"posted-content","created":{"date-parts":[[2026,7,24]],"date-time":"2026-07-24T04:01:06Z","timestamp":1784865666000},"source":"Crossref","is-referenced-by-count":0,"title":["Risk and Return in Government Bonds&amp;nbsp;"],"prefix":"10.2139","author":[{"given":"Matteo","family":"Leombroni","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Carolin E.","family":"Pflueger","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Adi","family":"Sunderam","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","author":"V V Acharya","year":"2025","journal-title":"When do Treasuries earn the convenience yield? 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The only exception is the U.S., where we use our baseline expected excess returns based on the BCFF. Bond yields, T-bill rates, and stock returns are obtained from GFD. Bond-stock betas are computed as the regression coefficient of monthly par bond excess returns on stock excess returns over a backward-looking rolling window, as defined in Equation 10. We use 60-month rolling windows (five-year rolling \u03b2). Par bond excess returns are constructed using ten-year par yields, and stock market excess returns are computed using domestic stock market index returns. The table reports the average estimate, standard deviation, minimum and maximum values, and, for the betas in Panels D and E, the average heteroskedasticity-robust standard errors. Panel A also reports the number of observations and the first year for which forecasts are available"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T23:10:04Z","timestamp":1792797004000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7059018"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":72,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7059018","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}