Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
986083 | Review of Financial Economics | 2008 | 15 Pages |
Abstract
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.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Srinivas Nippani, Augustine C. Arize,