Momentum in Corporate Bond Returns

被引：133
|
作者：
Jostova, Gergana [1 ]
Nikolova, Stanislava [2 ]
Philipov, Alexander [3 ]
Stahel, Christof W.
机构：
[1] George Washington Univ, Sch Business, Washington, DC 20052 USA
[2] Univ Nebraska Lincoln, Coll Business Adm, Lincoln, NE USA
[3] George Mason Univ, Sch Management, Fairfax, VA 22030 USA
来源：
REVIEW OF FINANCIAL STUDIES | 2013年 / 26卷 / 07期
关键词：
STOCK; STRATEGIES; PERFORMANCE; WEALTH; COSTS; RISK;
D O I：
10.1093/rfs/hht022
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper documents significant momentum in a comprehensive sample of 81,491 U.S. corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by noninvestment grade (NIG) bonds. Momentum profits have increased over time, along with the growth of this segment. From 1991 to 2011, they average 59 basis points (bps) per month across all bonds and 192 bps in NIG bonds. NIG bonds issued by private firms earn even higher profits (282 bps). Momentum profits do not appear to compensate for risk or persist as a result of trading frictions. Bond momentum is not just a manifestation of equity momentum.
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页码：1649 / 1693
页数：45
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