This paper finds positive evidence of return predictability and investment gains for individual corporate bonds for an extended period from 1973 to 2017. Our sample consists of both public and private company bond observations. We have implemented multiple machine learning methods and designed a...

This paper documents substantial evidence of return predictability and investment gains for individual corporate bonds via machine learning. The forecast-implied long-short and market-timing strategies deliver significant risk-adjusted returns over transaction costs. Random Forest has the best...

This chapter examines momentum in the corporate bond market using a comprehensive data set that includes bonds with different characteristics and provisions. We find that momentum exists in a wide range of corporate bonds. The momentum effect is more significant for callable bonds and...