Premium
An examination of the day‐of‐the‐week effect in junk bond returns over business cycles
Author(s) -
Kohers Theodor,
Patel Jayen B.
Publication year - 1996
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/s1058-3300(96)90004-x
Subject(s) - bond , bond market , portfolio , bond market index , equity (law) , monetary economics , financial economics , economics , business cycle , business , finance , political science , law , keynesian economics
While many investors consider junk bonds to be part of a well‐diversified portfolio, the literature defining these securities is inconclusive. In particular, the day‐of‐the‐week effect , widely documented in other financial markets, has not yet been carefully examined in the junk bond market. Thus, to significantly extend the research on the day‐of‐the‐week effect , this paper tests for the existence of this anomaly in the junk bond market, the investment‐grade bond market, and the CRSP equity index over different business cycles. The findings of this study tend to confirm the uniqueness of the junk bond market, which differs significantly from the other markets. Also, the results suggest that the distinction by business cycle has important implications on the existence of the day‐of‐the‐week effect .