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AbstractWe document that the Treasury market investor sentiment (TSENT) of institutional investors is a powerful predictor of bond risk premia. Specifically, TSENT positively predicts Treasury bond excess returns in and out of sample. The forecasting gains of TSENT are incremental to those in conventional bond return predictors: Fama–Bliss forward spreads, Cochrane–Piazzesi forward rate factor, and Ludvigson–Ng macro factor, as well as equity market sentiment proxies such as the investor sentiment index and the partial least squares sentiment index. Asset allocation analysis indicates the forecasting power of TSENT is economically valuable to investors. Finally, we show that the time‐series bond risk premia predictability associated with TSENT relates to its predictive power for macroeconomic performance, such as payroll employment, unemployment rate, and industrial production.

Journal of High Energy Physics 2015.06 (2015): 175 reproduced by permission of Scuola Internazionale Superiore di Studi Avanzati (SISSA) ; We study the η-η′ mixing up to next-to-next-to-leading-order in U(3) chiral perturbation theory in the light of recent lattice simulations and phenomenological inputs. A general treatment for the η-η′ mixing at higher orders, with the higher-derivative, kinematic and mass mixing terms, is addressed. The connections between the four mixing parameters in the two-mixing-angle scheme and the low energy constants in the U(3) chiral effective theory are provided both for the singlet-octet and the quark-flavor bases. The axial-vector decay constants of pion and kaon are studied in the same order and confronted with the lattice simulation data as well. The quark-mass dependences of mη, mη ′ and mK are found to be well described at next-to-leading order. Nonetheless, in order to simultaneously describe the lattice data and phenomenological determinations for the properties of light pseudoscalars π, K, η and η′, the next-to-next-to-leading order study is essential. Furthermore, the lattice and phenomenological inputs are well reproduced for reasonable values of low the energy constants, compatible with previous bibliography ; This work is supported in part by the National Natural Science Foundation of China (NSFC) under Grant No. 11105038, the Natural Science Foundation of Hebei Province with contract No. A2015205205, the grants from the Education Department of Hebei Province under contract No. YQ2014034, the grants from the Department of Human Resources and Social Security of Hebei Province with contract No. C201400323, and the Doctor Foundation of Hebei Normal University under Contract No. L2010B04, the Spanish Government (MINECO) and the European Commission (ERDF) [FPA2010-17747, FPA2013-44773-P, FPA2013-40483-P, SEV-2012-0249 (Severo Ochoa Program), CSD2007-00042 (Consolider Project CPAN)], the grants with contract No. FIS2014-57026-REDT from MINECO (Spain), and EPOS network of the European Community Research Infrastructure Integrating Activity "Study of Strongly Interacting Matter" (HadronPhysics3, Grant No. 283286)