Tests of technical trading rules and the 52-week high strategy in the corporate bond market

William Montgomery, Ahmad Raza and Numan Ülkü

Global Finance Journal, 2019, vol. 40, issue C, 85-103

Abstract: This article presents the first tests of technical trend-following rules (TTRs) and the 52-week high strategy in individual corporate bonds, along with comparisons to corresponding stocks. Over the 2002–2015 period, TTR and the 52-week strategy are unprofitable in both bonds and stocks. Short legs of these trend-following strategies lead to significant losses in corporate bonds, which can be interpreted as evidence of bond investors' overreaction to bad news. Thus, short-term contrarian strategies, the profitability of which is viewed as the reward to liquidity provision, are more rewarding in corporate bonds. TTR buy signals can predict lower-volatility days in bonds as in stocks, despite the low/negative return correlations between the two.

Keywords: Technical trend-following rules; The 52-week high momentum strategy; Corporate bonds (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S104402831730426X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:40:y:2019:i:c:p:85-103

DOI: 10.1016/j.gfj.2018.01.018

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

More articles in Global Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().