Financial Statement Anomalies in the Bond Market

Steven S. Crawford, Pietro Perotti, Richard A. Price and Christopher J. Skousen

Financial Analysts Journal, 2019, vol. 75, issue 3, 105-124

Abstract: We investigate the association between bond returns and 32 financial statement variables. Our findings show that 17 of the 32 financial statement measures we examined are significantly related to future bond returns. Evidence of inefficiency is more pronounced when institutional investors are less active and when there is more uncertainty about the creditworthiness of the issuer. We contribute to the literature by significantly expanding the number of anomalies analyzed and by providing practitioners with actionable guidance on which trading strategies may be profitable in the bond market.Disclosure: The authors report no conflicts of interest.Authors’ NoteThe data used in this study are available from public sources identified in the article.Editor’s NoteSubmitted 16 April 2018Accepted 15 January 2019 by Stephen J. Brown

Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/0015198X.2019.1572377 (text/html)
Access to full text is restricted to subscribers.

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:taf:ufajxx:v:75:y:2019:i:3:p:105-124

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/ufaj20

DOI: 10.1080/0015198X.2019.1572377

Access Statistics for this article

Financial Analysts Journal is currently edited by Maryann Dupes

More articles in Financial Analysts Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().