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Accepted manuscript
Final published version
We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables through complete subset regressions (CSR). We consider the robustness of CSR forecasts across the 1-month, 3-month, and 12-month forecasting horizons. The CSR method performs well in predicting bond betas.
Original language | English |
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Journal | Finance Research Letters |
Volume | 29 |
Pages (from-to) | 193-199 |
ISSN | 1544-6123 |
DOIs | |
Publication status | Published - Jun 2019 |
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