U.S. corporate bond returns: A study of market anomalies based on broad industry groups
AbstractWe examine three major U.S. corporate bond market indices for calendar-based anomalies over the period 1982-2002. The analysis covers the entire corporate bond market and two broad industry classes: industrials and utilities. We find mixed support for the weekend effect in the overall bond index and the industrials index and to a lesser extent in the utilities index. We also show strong evidence of a January effect. This paper not only updates the study of corporate bond market anomalies through the period 2002 but also is the first examination based on broad industry classes.
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Bibliographic InfoArticle provided by Elsevier in its journal Review of Financial Economics.
Volume (Year): 17 (2008)
Issue (Month): 3 (August)
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Web page: http://www.elsevier.com/locate/inca/620170
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