Is There a January Effect in Corporate Bond and Paper Returns?

Jack W Wilson and Charles P Jones

The Financial Review, 1990, vol. 25, issue 1, 55-79

Abstract: This paper examines the question of seasonality in corporate bond and commercial paper returns by testing specifically for a January effect. Complete data covering a 131-year period for both series, as well as term premiums, are analyzed using a procedure that provides consistent estimates of the variance-covariance matrix. The results suggest that a January effect does exist for both assets for the entire period; however, closer examination reveals a strong January effect for the pre-1915 period, but a dampening thereafter. The authors conclude that precise results depend primarily upon the time period chosen and the debt instrument examined. Tests involving the inflation rate strengthen the case for a January seasonal. Copyright 1990 by MIT Press.

Date: 1990
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