Are corporate bond market returns predictable?

Journal of Banking and Finance

Volumn 36, Issue 8, 2012, Pages 2216-2232

  Hong, Yongmiao ^a,b   Lin, Hai ^c,d   Wu, Chunchi ^e  

^a Cornell University ^*  (United States)

^b XIAMEN UNIVERSITY   (China)

^c UNIVERSITY OF OTAGO   (New Zealand)

^d VICTORIA UNIVERSITY OF WELLINGTON   (New Zealand)

^e UNIVERSITY AT BUFFALO   (United States)

Author keywords

Autocorrelation; Bond pricing; Causality; Generalized spectrum; Market efficiency; Nonlinearity; Return predictability

Indexed keywords

EID: 84862223218     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2012.04.001     Document Type: Article

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