The January Effect in the Corporate Bond Market: A Systematic Examination

William F. Maxwell

Financial Management, 1998, vol. 27, issue 2

Abstract: The turn-of-the-year (or January) effect is persuasive and well-documented anomaly in the financial markets. This paper examines this effect in the corporate bond market and documents a strong January effect in both the yield and the returns of corporate bonds. The paper investigates the underlying factors and finds that the January effect is a function of several factors that coincide around the turn of the year.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fma:fmanag:maxwell98

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