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Predictive information in corporate bond yields

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journal contribution
posted on 26.04.2022, 21:21 authored by X Guo, Hai LinHai Lin, C Wu, G Zhou
We document strong evidence of the cross-sectional predictability of corporate bond returns based on a set of yield predictors that capture the information in the yields of past 1, 3, 6, 12, 24, 36, and 48 months. Return predictability is economically and statistically significant, and is robust to various controls. The uncovered predictability presents the most pronounced anomaly in the corporate bond literature that challenges rational pricing models.

History

Preferred citation

Guo, X., Lin, H., Wu, C. & Zhou, G. (2021). Predictive information in corporate bond yields. Journal of Financial Markets, 100687-100687. https://doi.org/10.1016/j.finmar.2021.100687

Journal title

Journal of Financial Markets

Publication date

01/01/2021

Pagination

100687-100687

Publisher

Elsevier BV

Publication status

Published

ISSN

1386-4181

Article number

100687

Language

en