Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach

Hai Lin
Hai Lin
[email protected]
Victoria University of Wellington, Kelburn, Wellington 6012, New Zealand
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,
Chunchi Wu
Chunchi Wu
[email protected]
State University of New York at Buffalo, Buffalo, New York 14228
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,
Guofu Zhou
Corresponding Author
Guofu Zhou
[email protected]
Olin School of Business, Washington University in St. Louis, St. Louis, Missouri 63130
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Hai Lin

[email protected]

Victoria University of Wellington, Kelburn, Wellington 6012, New Zealand

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Chunchi Wu

[email protected]

State University of New York at Buffalo, Buffalo, New York 14228

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Guofu Zhou

Corresponding Author

Guofu Zhou

[email protected]

Olin School of Business, Washington University in St. Louis, St. Louis, Missouri 63130

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Published Online:10 May 2017https://doi.org/10.1287/mnsc.2017.2734

Supplemental Material

mnsc.2017.2734-sm.pdf (208 KB)

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Volume 64, Issue 9

September 2018

Pages 3971-4470

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Received:November 20, 2015
Accepted:October 29, 2016
Published Online:May 10, 2017

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Hai Lin, Chunchi Wu, Guofu Zhou (2017) Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach. Management Science 64(9):4218-4238.

https://doi.org/10.1287/mnsc.2017.2734

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Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach

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