Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089773 | Journal of Banking & Finance | 2012 | 17 Pages |
Abstract
⺠We examine the predictability of corporate bond returns using daily index data. ⺠We use both linear and nonlinear models in empirical tests. ⺠We find that corporate bond returns are serially and cross-serially dependent. ⺠Stock returns lead bond returns in-sample and out-of-sample. ⺠Results suggest that stock market is informationally more efficient.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yongmiao Hong, Hai Lin, Chunchi Wu,