Showing 1 - 10 of 47
Persistent link: https://www.econbiz.de/10009301169
Persistent link: https://www.econbiz.de/10010442395
This paper reviews various studies of forward and reverse stock splits in the areas of motives for splits, split practices, split effects on firm value, and changes in market activities around splits. It focuses on three hypotheses and their extended evidence. As our analysis shows, the optimal...
Persistent link: https://www.econbiz.de/10013012146
Persistent link: https://www.econbiz.de/10012582266
Persistent link: https://www.econbiz.de/10012601370
Persistent link: https://www.econbiz.de/10009007990
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...
Persistent link: https://www.econbiz.de/10013221229
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...
Persistent link: https://www.econbiz.de/10014257090
Persistent link: https://www.econbiz.de/10014491074
This chapter examines momentum in the corporate bond market using a comprehensive data set that includes bonds with different characteristics and provisions. We find that momentum exists in a wide range of corporate bonds. The momentum effect is more significant for callable bonds and...
Persistent link: https://www.econbiz.de/10015088062