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Accounting year-end dispersion and seasonality in the Japanese corporate bond market

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  • Kenji Matsui
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    Abstract

    Using monthly yield data on straight bonds, this article investigates seasonality in the Japanese corporate bond market. A statistical examination of spreads between the yield of each bond and a bond market index reveals that the yield spread consistently decreases from April to August, whereas it increases from September to December. Because accounting year-ends for most investors in Japan are concentrated in either March or December, this seasonality supports the hypotheses of tax-loss selling and window dressing. Moreover, the seasonality becomes more pronounced as the debt rating declines, consistent with the findings in previous studies investigating the US bond market.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036841003705311
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics.

    Volume (Year): 43 (2011)
    Issue (Month): 26 ()
    Pages: 3733-3744

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    Handle: RePEc:taf:applec:v:43:y:2011:i:26:p:3733-3744

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