Predicting Individual Corporate Bond Returns
“The forecast-implied long-short and market-timing strategies deliver significant risk-adjusted returns over transaction costs.”
AssetBonds and creditbonds
StrategyMachine learningmarket timing
TechniqueTree ensemble
Sample window1976–2020
Also stated: Excess return, Long-short, costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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