In this paper, we investigate the predictability of corporate bond excess returns using a comprehensive data sample for the period from January 1973 to December 2010. We find that corporate bond returns are more predictable than stock returns, and the predictability tends to be higher for...

This paper investigates the roles of illiquidity and credit risk in determining the relations between price volatility of a bond and its trading frequency and trade size based on a large transaction dataset from October 2004 to June 2012. We find a positive relation between volatility and...

Using a robust textual analytic method, we decompose the P2P loan description into common and distinctive contents, which contain general and unique information provided by borrowers. We then investigate the role of the distinctive content in affecting P2P lending decisions and outcomes....

We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the...

This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016. Results show that bonds with high volatility betas have low expected returns and this negative relation appears in all segments of corporate...

This paper tries to investigate the corporate bond momentum from the perspective of business media. The empirical evidence shows significant momentum for bonds with high media coverage while insignificant for low media coverage bonds. This difference cannot be explained by conventional risk...

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...

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...

Using implied-CDS risk premium measures, we find that these variables have higher explanatory power for cross-sectional bond returns than the traditional default spread and ratings. The positive effect of the credit risk premium (CRP) factor on expected returns is pervasive, stronger for...

We propose an alternative approach to the linear factor model to estimate and decompose asset risk premia in empirical asset pricing. To resolve the high-dimensional sort difficulty in forming characteristic-based benchmark portfolios, we introduce a benchmark combination model (BCM) that...