Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239123 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-34
Publisher: 
MDPI, Basel
Abstract: 
Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components have more predictive power for bond returns than conventional default and term spreads. When decomposing the credit spread index into investment- and speculative-grade components, the latter has more predictive power for future bond returns. The source of the index's predictive power is from its ability to forecast future economic conditions.
Subjects: 
corporate bonds
credit spreads
default risk
economic conditions
return predictability
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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