Momentum lost and found in corporate bond returns

Hwai-Chung Ho and Hsiao-Chuan Wang

Journal of Financial Markets, 2018, vol. 38, issue C, 60-82

Abstract: In this paper, we propose an overreaction detection method to capture price reversals in the momentum cycle. Motivated by the absence of the momentum effect in investment-grade (IG) bonds, which is uncommon for most financial assets, we verify the method by showing significant improvements in the refined momentum portfolios of U.S. IG bonds from January 1994 to June 2014. The subsample of private or public firms and the relation to investor sentiment also indicate price momentum for both non-investment-grade (NIG) bonds and IG bonds. Our results carry important consistency implications for price continuations across financial assets and markets.

Keywords: Corporate bond; Momentum; Overreaction; Quantile risk (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:38:y:2018:i:c:p:60-82

DOI: 10.1016/j.finmar.2017.10.003

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