The January Effect in the Corporate Bond Market: A Systematic Examination
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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Volume (Year): 27 (1998)
Issue (Month): 2 (Summer)
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