Corrigendum: Bond Risk Premiums with Machine Learning

Daniele Bianchi, Matthias Büchner, Tobias Hoogteijling, Andrea Tamoni

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish (US)
Pages (from-to)1090-1103
Number of pages14
JournalReview of Financial Studies
Issue number2
StatePublished - Feb 1 2021
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics


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