We examine the predictive power of the CDS-bond basis for future corporate bond returns. We find that residual basis, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as counterparty risk, funding risk, and liquidity risk, strongly negatively...

Using multiple short sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and utilization ratio measures have the most robust predictive power for future stock returns in the...

The predictability of stock returns has always been one of the core research questions in finance. This paper attempts to introduce machine learning method to answer whether stock returns are predictable in China. With 108 characteristics data in Chinese stock market from January 1997 to...