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The January Effect in the Corporate Bond Market: A Systematic Examination

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  • William F. Maxwell
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    Abstract

    The turn-of-the-year (or January) effect is persuasive and well-documented anomaly in the financial markets. This paper examines this effect in the corporate bond market and documents a strong January effect in both the yield and the returns of corporate bonds. The paper investigates the underlying factors and finds that the January effect is a function of several factors that coincide around the turn of the year.

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    Bibliographic Info

    Article provided by Financial Management Association in its journal Financial Management.

    Volume (Year): 27 (1998)
    Issue (Month): 2 (Summer)
    Pages:

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    Handle: RePEc:fma:fmanag:maxwell98

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    Cited by:
    1. Ortiz, Cristina & Sarto, José Luis & Vicente, Luis, 2012. "Portfolios in disguise? Window dressing in bond fund holdings," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 418-427.
    2. Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence, 2013. "The January effect for individual corporate bonds," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 69-77.
    3. Dritsakis, Nikolaos & Grose, Christos & Kalyvas, Lampros, 2006. "Performance aspects of Greek bond mutual funds," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 189-202.
    4. Barnhill Jr., Theodore M. & Joutz, Frederick L. & Maxwell, William F., 2000. "Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 57-86, May.
    5. Polwitoon, Sirapat & Tawatnuntachai, Oranee, 2006. "Diversification benefits and persistence of US-based global bond funds," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2767-2786, October.
    6. Al-Khazali, Osamah M., 2001. "Does the January effect exist in high-yield bond market?," Review of Financial Economics, Elsevier, vol. 10(1), pages 71-80.
    7. Dubofsky, David A., 2010. "Mutual fund portfolio trading and investor flow," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 802-812, April.

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