FURTHER EVIDENCE OF MOMENTUM IN CORPORATE BOND RETURNS

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)65-97
Journal / PublicationAdvances in Pacific Basin Business, Economics and Finance
Volume8
Online published9 Sept 2020
Publication statusPublished - Sept 2020

Abstract

This chapter examines momentum in the corporate bond market using a comprehensive data set that includes bonds with different characteristics and provisions. We find that momentum exists in a wide range of corporate bonds. The momentum effect is more significant for callable bonds and lower-rated bonds. This effect cannot be explained by standard risk factors and liquidity in the bond market. Bond momentum prevails over time and remains strong even after the corporate bond market becomes more transparent and liquid with establishment of TRACE. The high magnitude of momentum profits casts doubt that they can be explained by risk-based theories.

Research Area(s)

  • Bond momentum, Credit risk, Investment clienteles, Trading frequency, Volatility, Flight-to-liquidity

Bibliographic Note

Research Unit(s) information for this publication is provided by the author(s) concerned.