Hong, Yongmiao; Lin, Hai; Wu, Chunchi - In: Journal of Banking & Finance 36 (2012) 8, pp. 2216-2232
This paper examines the predictability of corporate bond returns using the transaction-based index data for the period from October 1, 2002 to December 31, 2010. We find evidence of significant serial and cross-serial dependence in daily investment-grade and high-yield bond returns. The serial...