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The Momentum Effect for Canadian Corporate Bonds

Valentina Galvani and Lifang Li ()
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Lifang Li: University of Alberta, Department of Economics, Postal: 8-14 HM Tory Building, Edmonton, AB, T6G 2H4

No 2018-16, Working Papers from University of Alberta, Department of Economics

Abstract: Using bond-level data for a sample ranging from 1987 to 2016 we document that the momentum effect is significant in the Canadian market for corporate bonds. The strategy yields momentum gains that are comparable to those observed for US corporate bonds. Conditioning on the market state (UP/ DOWN) doubles the returns on the momentum portfolio for holding periods ranging from one month up to two years. Further, momentum gains are exclusive to the UP market state. The conditional analysis further reveals that the state of the market brings about sizable momentum returns also for investment grade bonds, especially in the most recent years of the sample.

Keywords: market states; investment grade; momentum; institution investors; Canadian corporate bonds (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2018-11-01
New Economics Papers: this item is included in nep-fmk
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