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

Srinivas Nippani and Augustine C. Arize

Review of Financial Economics, 2008, vol. 17, issue 3, 157-171

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.

Date: 2008
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https://doi.org/10.1016/j.rfe.2007.02.007

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Persistent link: https://EconPapers.repec.org/RePEc:wly:revfec:v:17:y:2008:i:3:p:157-171

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