Predicting the new issue premium in high yield

Retourner
Cover

We identified explanatory variables at issuance that systematically predict short-term outperformance of high yield bonds. Combining new-issue features by means of novel AI techniques, our model consistently outperforms the all-time base rate precision in predicting winners. Our new issue strategy simulation consistently outperforms the high yield issue market.

Pour lire cet article, vous avez besoin d'un abonnement à Investment Officer. Si vous n'avez pas encore d'abonnement, cliquez sur 'Abonner' pour connaître les différentes formules d'abonnement.