The standard way to summarize the yield curve is to use the first three principal components of the yield curve, resulting in level, slope and curvature factors. Yields, however, are non-stationary. We analyze the first three principal components of yield changes, which correspond to changes in...

We investigate the phenomenon that past winners in the stock market are potential future winners in the European bond market. By using a data-set of EUR denominated bonds for the IG and HY market since 2000, we show that the stock market leads the bond market as well as rating changes. Firms...

Machine learning techniques have gained enormously in popularity in recent years, but so far only to a very limited extent in fixed income research. In this paper we therefore like to do some pioneering work and apply Boosted Regression Trees to Equity Momentum in the corporate bond market. We...

This study fills the literature gap by employing the longest yet-analyzed period and introduces multiple short selling proxies to explain the relationship between short selling information and bond performance. We examine short selling signals derived from bond and equity markets and find both...

Identifying economic regimes is useful in a world of time-varying risk premia. We apply regime switching models to common factors proxying for the macroeconomic regime and show that the ensuing regime factor is relevant in forecasting the equity risk premium. Moreover, the relevance of this...

Recent research suggests that machine learning models dominate traditional linear models in predicting cross-sectional stock returns. We confirm this finding when predicting one-month forward-looking returns based on a set of common stock characteristics, including predictors such as short-term...