QUEEN’S BUSINESS SCHOOL FINANCE SEMINAR SERIES

Wednesday 27^th November

1pm

“Cross-Asset Trend Spillover: A Novel Factor for Corporate Bond Returns”

Abstract

We propose XTREND, a cross-asset trend factor for corporate bond returns that captures spillovers from equity market price and volume data. Using two decades of U.S. data, we apply machine learning techniques to extract information from various technical indicators, including moving averages, oscillators, and volatility measures. The resulting signal reliably predicts corporate bond returns, demonstrating robust performance across credit quality and market conditions. XTREND expands existing bond pricing models, thus, providing a more complete explanation of the cross-section of bond returns. Finally, we find that the XTREND factor is robust across 1.6 million research designs and has a probability far above 50% to be part of the stochastic discount factor after sampling over one quadrillion models.

Adam Zaremba

Montpellier Business School

QBS Conference Hub, Seminar Room 01.012