Using a comprehensive data set and an array of 27 macroeconomic, stock and bond predictors, we find that corporate bond returns are highly predictable based on an iterated combination model. The large set of predictors outperforms traditional predictors substantially, and predictability...

This paper investigates the impacts of the Brexit referendum on equilibrium relationships and spillover effects between the UK and other European countries' sovereign bond markets. We run vector error correction model (VECM) with dummy variables to detect the shifts in the long-run equilibriums...

Using a large number of predictors and based on an extended iterated combination approach of Lin, Wu, and Zhou (2017), we document both statistical and economic significance of Treasury bond return predictability. Macroeconomic and aggregate liquidity variables contain predictive information for...

This paper constructs an investor sentiment measure at both individual bond and aggregate levels, uncovering the first evidence that investor sentiment has strong cross- sectional predictive power for corporate bond returns. High bond investor sentiment leads to low future returns. A portfolio...

In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index futures market. We analyze the dominant contracts of CSI...

We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk...