AN INVESTIGATION OF THE EMPIRICAL DISTRIBUTION OF BOND RETURNS

This is a study of the distribution of bond returns. We demonstrate th e use of bootstrap procedures to provide statistical inferences on the estimated characteristic components of the empirical distribution of bond returns. it is found that the mixture of stable distributions hyp othesis provides a more accurate description of the empirical distribu tion of bond returns. The results imply that (1) the bond portfolio ap plications studies have to consider more than mean and variance and (2 ) the bond market seasonal effect studies need to incorporate tests th at are robust to nonnormality and heteroskedasticity.