Bond Factors

Fama-Bliss(1987) and Cochrane-Piazzesi(2005) on excess log return and forward spread

Carry -

Ludvigson-Ng (2009)

Decomposing the Yield Curve -Cochrane, Piazzesi 2008 (Carry)

Yield Spread and Interest Rate Movements: a bird's eye view(Value) Campbell, SHiller 1991

Reversion of Interest Rates - End 2011