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Is There a January Effect in Corporate Bond and Paper Returns?

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  • Wilson, Jack W
  • Jones, Charles P

Abstract

This paper examines the question of seasonality in corporate bond and commercial paper returns by testing specifically for a January effect. Complete data covering a 131-year period for both series, as well as term premiums, are analyzed using a procedure that provides consistent estimates of the variance-covariance matrix. The results suggest that a January effect does exist for both assets for the entire period; however, closer examination reveals a strong January effect for the pre-1915 period, but a dampening thereafter. The authors conclude that precise results depend primarily upon the time period chosen and the debt instrument examined. Tests involving the inflation rate strengthen the case for a January seasonal. Copyright 1990 by MIT Press.

Suggested Citation

  • Wilson, Jack W & Jones, Charles P, 1990. "Is There a January Effect in Corporate Bond and Paper Returns?," The Financial Review, Eastern Finance Association, vol. 25(1), pages 55-79, February.
    • Handle: RePEc:bla:finrev:v:25:y:1990:i:1:p:55-79
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    Citations

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    Cited by:

    1. Athanassakos, George & Tian, Yisong Sam, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, Elsevier, vol. 7(1), pages 65-86.
    2. 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.
    3. Christiansen, Charlotte, 2002. "Credit spreads and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 279-295.
    4. 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.
    5. Osamah M Al‐Khazali, 2001. "Does the January effect exist in high‐yield bond market?," Review of Financial Economics, John Wiley & Sons, vol. 10(1), pages 71-80, March.
    6. Kam, C. Chan & H., K. Wu, 1995. "Another look on bond market seasonality: a note," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1047-1054, September.
    7. Bayraci, Selcuk, 2007. "Modeling the volatility of FTSE All Share Index Returns," MPRA Paper 28095, University Library of Munich, Germany.
    8. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
    9. George Athanassakos & Yisong Sam Tian, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, John Wiley & Sons, vol. 7(1), pages 65-86.
    10. Nippani, Srinivas & Pennathur, Anita K., 2004. "Day-of-the-week effects in commercial paper yield rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 508-520, September.

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