Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach
“For non-overlapping excess bond returns, out-of-sample predictability evidence is weak; for overlapping returns, the WGNN has the highest overall out-of-sample R^2, exceeding 7%, among all models, and is the only model performing well across all maturities.”
AssetBonds and creditbonds
StrategyMachine learningnews sentiment
TechniqueFeedforward networklinear factor model
GeographyUS
Also stated: Text and news, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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