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The cross-sectional pricing of corporate bonds using big data and machine learning

Bali, Turan G.; Goyal, Amit; Huang, Dashan; Jiang, Fuwei; … - 2020

We provide a comprehensive study on the cross-sectional predictability of corporate bond returns using big data and machine learning. We examine whether a large set of equity and bond characteristics drive the expected returns on corporate bonds. Using either set of characteristics, we find that...

Persistent link: https://www.econbiz.de/10012419708

Manager sentiment and stock returns

Jiang, Fuwei; Lee, Joshua; Martin, Xiumin; Zhou, Guofu - In: Journal of financial economics 132 (2019) 1, pp. 126-149

Persistent link: https://www.econbiz.de/10012134791

The world predictive power of U.S. equity market skewness risk

Chen, Jian; Jiang, Fuwei; Xue, Shuyu; Yao, Jiaquan - In: Journal of international money and finance 96 (2019), pp. 210-227

Persistent link: https://www.econbiz.de/10012139649

Factor momentum in the Chinese stock market

Ma, Tian; Liao, Cunfei; Jiang, Fuwei - In: Journal of empirical finance 75 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014491862

International stock return predictability : the role of U.S. uncertainty spillover

Jiang, Fuwei; Liu, Hongkui; Yu, Jiasheng; Zhang, Huajing - In: Pacific-Basin finance journal 82 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014463395

Factor timing with investor sentiment

Jiang, Fuwei; Ning, Wei; Xue, Hao - In: Annals of economics and finance 24 (2023) 2, pp. 401-437

Persistent link: https://www.econbiz.de/10014518959

Certainty of uncertainty for asset pricing

Jiang, Fuwei; Kang, Jie; Meng, Lingchao - In: Journal of empirical finance 78 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10015101663

What difference do new factor models make in portfolio allocation?

Fabozzi, Frank J.; Huang, Dashan; Jiang, Fuwei; Wang, Jiexun - In: Journal of international money and finance 140 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014451422

Time and frequency relationship between household investors' sentiment index and US industry stock returns

Khan, Muhammad Asif; Hernandez, Jose Arreola; Shahzad, … - In: Finance research letters 36 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012483967

COVID-19 pandemic and the dynamics of major investable assets : what gives shelter to investors?

Noman, Abu Hanifa Md.; Karim, Muhammad Mahmudul; … - In: International review of economics & finance : IREF 86 (2023), pp. 14-30

Persistent link: https://www.econbiz.de/10014428726