Forecasting corporate bond returns with a large set of predictors: An iterated combination approach
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 gene...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
INFORMS Inst.for Operations Res.and the Management Sciences
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |