The January effect for individual corporate bonds

Wassim Dbouk, Ibrahim Jamali and Lawrence Kryzanowski

International Review of Financial Analysis, 2013, vol. 30, issue C, 69-77

Abstract: We examine the presence, magnitude and determinants of a January effect for individual corporate bonds. Our results provide empirical evidence of positive and statistically (but not economically) significant abnormal returns in January across different event windows and models. Our results suggest that, in the addition to the term and default factors, the excess stock returns, size and book-to-market factors are priced for individual bond returns. We investigate a number of determinants of the January abnormal returns for individual bonds. Our findings suggest that the reversal and tax-loss selling effects are important determinants of the abnormal returns on individual bonds.

Keywords: January effect; Corporate bond returns; Event study; Tax loss selling (search for similar items in EconPapers)
JEL-codes: C12 D53 G12 G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:30:y:2013:i:c:p:69-77

DOI: 10.1016/j.irfa.2013.06.001

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