The asymmetric predictability of high-yield bonds

•The estimation of VAR model shows that the stock market returns lead high-yield bond returns, but not vice versa.•This lead–lag relationship is more solid during bear market periods.•Out-of-sample forecast shows that high-yield bond returns are better predicted by a VAR model during bear market periods, but such is not the case during non-bear market periods.•The predictability of high-yield bonds is asymmetric.