Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-34
Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns … controls. The credit spread index and its components have more predictive power for bond returns than conventional default and … term spreads. When decomposing the credit spread index into investment- and speculative-grade components, the latter has …