Credit Spreads, Business Conditions, and Expected Corporate Bond Returns

Credit Spreads, Business Conditions, and Expected Corporate Bond Returns

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components have mo...

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Bibliographic Details
Main Authors: Hai Lin, Xinyuan Tao, Junbo Wang, Chunchi Wu
Format: Article
Language:English
Published: MDPI AG 2020-01-01
Series:Journal of Risk and Financial Management
Subjects:
credit spreads
default risk
corporate bonds
return predictability
economic conditions
Online Access:https://www.mdpi.com/1911-8074/13/2/20

Internet

https://www.mdpi.com/1911-8074/13/2/20

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