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U.S. corporate bond returns: A study of market anomalies based on broad industry groups

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  • Srinivas Nippani
  • Augustine C. Arize

Abstract

We examine three major U.S. corporate bond market indices for calendar‐based anomalies over the period 1982–2002. The analysis covers the entire corporate bond market and two broad industry classes: industrials and utilities. We find mixed support for the weekend effect in the overall bond index and the industrials index and to a lesser extent in the utilities index. We also show strong evidence of a January effect. This paper not only updates the study of corporate bond market anomalies through the period 2002 but also is the first examination based on broad industry classes.

Suggested Citation

  • Srinivas Nippani & Augustine C. Arize, 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 157-171, August.
    • Handle: RePEc:wly:revfec:v:17:y:2008:i:3:p:157-171
    DOI: 10.1016/j.rfe.2007.02.007
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    References listed on IDEAS

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