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Predictive information in corporate bond yields

Author

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  • Guo, Xu
  • Lin, Hai
  • Wu, Chunchi
  • Zhou, Guofu

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.

Suggested Citation

  • Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
    • Handle: RePEc:eee:finmar:v:59:y:2022:i:pb:s1386418121000616
    DOI: 10.1016/j.finmar.2021.100687
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    More about this item

    Keywords

    Yield signals; Moving averages; Cross-sectional predictability; Corporate bond returns;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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