Using machine learning and many predictors, we find strong bond return predictability, with an out-of-sample R-squared of 4.48% and an annualized Sharpe ratio of 3.27. ML models identify important predictors for aggregate predictors (bond market returns, TERM and HML factors, GDP growth) and ...
However, not all proxies for market inefficiency point uniformly in the same direction, and most individual variables fail to consistently predict out-of-sample market excess returns. Thus, rationally time-varying expected returns are also likely to play a role in return predictability. 6. Further ...
Private Company Bonds.This paper finds positive evidence of return predictability and investment gains for individual corporate bonds from 1976 to 2020. First, we provide a comprehenHe, XinFeng, GuanhaoWang, JunboWu, ChunchiSocial Science Electronic Publishing...