The study found that using both current and past bond yields can help predict future bond returns better than just using current yields. Traditional models that only consider current yields may not capture this predictability accurately. The researchers developed a new model that takes into account the history of yields, showing that risk premiums in bond markets vary over time. This new model provides more accurate forecasts of bond returns and aligns closely with long-term return patterns observed in the market. The study also revealed that economic conditions like recessions and recoveries affect bond yields differently than previously thought, challenging standard models.