Machine Learning and the Cross-Section of Emerging Market Corporate Bond Returns
Machine learning models considering nonlinearities and interactions offer better predictions of corporate bond behavior in emerging markets with high transaction costs, with key predictors tied to low-risk macro and momentum factors.
Featured in No. 26 on 15 Nov 2023 · 16 days after release · 1 citation today
- Released
- 30 Oct 2023
- First featured
- No. 26 · 15 Nov 2023
- Citations (Semantic Scholar)
- 1
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- 0
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- 2
- Identifier
- SSRN 4632924
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