Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34
Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns … controls. The credit spread index and its components have more predictive power for bond returns than conventional default and … more predictive power for future bond returns. The source of the index's predictive power is from its ability to forecast …
