This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of … bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …-movements in forward term premia in global bond markets …

In this paper, we explore what factors drive expected corporate bond returns all over the world. With a novel dataset …, and utilizing machine learning models, we find there is strong predictability of corporate bond returns in international … volatility are more influential. Moreover, U.S.-based equity and bond factors do not contribute predictive power to non …

This paper constructs an investor sentiment measure at both individual bond and aggregate levels, uncovering the first … evidence that investor sentiment has strong cross- sectional predictive power for corporate bond returns. High bond investor … controlling for risk factors and bond characteristics. The cross-sectional predictability of bond returns is countercyclical, and …

Using a comprehensive data set and an array of 27 macroeconomic, stock and bond predictors, we find that corporate bond … market and macroeconomic variables play an important role in forming expected bond returns. Return forecasts are closely … linked to the evolution of real economy. Corporate bond premia have strong predictive power for business cycle and the …

We document strong evidence of cross-sectional predictability of corporate bond returns based on a set of yield … pronounced anomaly in the corporate bond literature that challenges rational pricing models …

-, intermediate- and long-term trends simultaneously, to predict future bond returns. We provide new evidence that there is … statistically significant and economically important predictability in the cross-section of corporate bond returns. This … predictability is robust to various controls and stronger for lower-rated bonds. The pronounced bond market anomaly uncovered in this …