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.

引用

页码：1649 / 1693

页数：45

共 50 条

[31] Determinants of Corporate Bond Returns in Korea: Characteristics or Betas?
Hong, Woosun
Lee, Seong-Hyo
Park, Young S.
ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2009, 38 (03) : 417 - 454
[32] Computing corporate bond returns: a word (or two) of caution
Andreani, Martina
Palhares, Diogo
Richardson, Scott
REVIEW OF ACCOUNTING STUDIES, 2024, 29 (04) : 3887 - 3906
[33] The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
Kim, Gi H.
Li, Haitao
Zhang, Weina
JOURNAL OF FUTURES MARKETS, 2017, 37 (08) : 836 - 861
[34] Market states, sentiment, and momentum in the corporate bond market
Li, Lifang
Galvani, Valentina
JOURNAL OF BANKING & FINANCE, 2018, 89 : 249 - 265
[35] Information opacity and corporate bond returns: The dynamics of split ratings
Abad, Pilar
Ferreras, Rodrigo
Robles, M-Dolores
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2020, 68
[36] Credit Spreads, Business Conditions, and Expected Corporate Bond Returns
Lin, Hai
Tao, Xinyuan
Wang, Junbo
Wu, Chunchi
JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (02)
[37] News and the cross-section of expected corporate bond returns
Abhyankar, Abhay
Gonzalez, Angelica
JOURNAL OF BANKING & FINANCE, 2009, 33 (06) : 996 - 1004
[38] Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns?
Duan, Tinghua
Li, Frank Weikai
Wen, Quan
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2025, 60 (01) : 1 - 35
[39] Dealer inventory and the cross-section of corporate bond returns
Friewald, Nils
Nagler, Florian
ECONOMICS LETTERS, 2024, 239
[40] What Do We Know About Corporate Bond Returns?
Huang, Jing-Zhi
Shi, Zhan
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 13, 2021, 2021, 13 : 363 - 399

← 1 2 3 4 5 →