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...

This paper finds positive evidence of return predictability and investment gains for individual corporate bonds for an extended period from 1973 to 2017. Our sample consists of both public and private company bond observations. We have implemented multiple machine learning methods and designed a...

This paper documents substantial evidence of return predictability and investment gains for individual corporate bonds via machine learning. The forecast-implied long-short and market-timing strategies deliver significant risk-adjusted returns over transaction costs. Random Forest has the best...