Accounting year-end dispersion and seasonality in the Japanese corporate bond market
AbstractUsing 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 43 (2011)
Issue (Month): 26 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEC20
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.