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U.S. corporate bond returns: A study of market anomalies based on broad industry groups
Author(s) -
Nippani Srinivas,
Arize Augustine C.
Publication year - 2008
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2007.02.007
Subject(s) - corporate bond , bond market index , bond , index (typography) , bond market , financial economics , economics , business , monetary economics , financial system , finance , world wide web , computer science
We examine three major U.S. corporate bond market indices for calendar‐based anomalies over the period 1982–2002. The analysis covers the entire corporate bond market and two broad industry classes: industrials and utilities. We find mixed support for the weekend effect in the overall bond index and the industrials index and to a lesser extent in the utilities index. We also show strong evidence of a January effect. This paper not only updates the study of corporate bond market anomalies through the period 2002 but also is the first examination based on broad industry classes.