Journal
MANAGEMENT SCIENCE
Volume 64, Issue 9, Pages 4218-4238Publisher
INFORMS
DOI: 10.1287/mnsc.2017.2734
Keywords
predictability; corporate bonds; iterated combination; out-of-sample forecasts; utility gains
Funding
- National Natural Science Fund of China [71301137, 71371161, 71101121]
Ask authors/readers for more resources
Using a comprehensive return data set and an array of 27 macroeconomic, stock, and bond predictors, we find that corporate bond returns are highly predictable based on an iterated combination model. The large set of predictors outperforms traditional predictors substantially, and predictability generated by the iterated combination is both statistically and economically significant. Stock market and macroeconomic variables play an important role in forming expected bond returns. Return forecasts are closely linked to the evolution of real economy. Corporate bond premia have strong predictive power for business cycle, and the primary source of this predictive power is from the low-grade bond premium.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available