Predictive information in corporate bond yields

Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou

Journal of Financial Markets, 2022, vol. 59, issue PB

Abstract: 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.

Keywords: Yield signals; Moving averages; Cross-sectional predictability; Corporate bond returns (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:59:y:2022:i:pb:s1386418121000616

DOI: 10.1016/j.finmar.2021.100687

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