Corrigendum: Bond Risk Premiums with Machine Learning-Reference-Cited by-同舟云学术

Corrigendum: Bond Risk Premiums with Machine Learning

Published:2020-11-06 Issue:2 Volume:34 Page:1090-1103
ISSN:0893-9454
Container-title:The Review of Financial Studies
language:en
Short-container-title:

Author:

Bianchi Daniele¹,Büchner Matthias²,Hoogteijling Tobias³,Tamoni Andrea⁴

Affiliation:

1. School of Economics and Finance, Queen Mary University of London

2. Warwick Business School, University of Warwick

3. Erasmus University Rotterdam and Robeco Institutional Asset Management

4. Rutgers Business School

Abstract

Abstract In this note we revisit the empirical results in Bianchi, Büchner, and Tamoni (2020) after correcting for using information not available at the time the forecast was made. Although we note a decrease in out-of-sample $R^2$, the revised analysis confirms that bond excess return predictability from neural networks remains statistically and economically significant.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/advance-article-pdf/doi/10.1093/rfs/hhaa098/34142247/hhaa098.pdf

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