Momentum in the European corporate bond market: The role of bond-specific returns

Beitrag in einer Fachzeitschrift


Details zur Publikation

Autor(en): Barth F, Scholz H, Stegmeier M
Zeitschrift: Journal of Fixed Income
Jahr der Veröffentlichung: 2018
Band: 27
Heftnummer: 3
Seitenbereich: 54-70
ISSN: 1059-8596
Sprache: Englisch


Abstract


This paper analyzes momentum patterns in the European corporate bond market. We study a broad sample of Euro-denominated investment grade and noninvestment grade bonds covering the period January 2004 to October 2016. Our empirical findings reveal that momentum is mainly concentrated among noninvestment grade bonds. Furthermore, the composition of the momentum portfolios varies over time and is related to bond characteristics. Taking this into account, we apply characteristics-based adjustments in context with performance measurement and find momentum profits to remain robust. Most importantly, bond-specific return components seem to drive momentum patterns, indicating gradual information diffusion in bond prices.



FAU-Autoren / FAU-Herausgeber

Barth, Florian
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


Zitierweisen

APA:
Barth, F., Scholz, H., & Stegmeier, M. (2018). Momentum in the European corporate bond market: The role of bond-specific returns. Journal of Fixed Income, 27(3), 54-70. https://dx.doi.org/10.3905/jfi.2018.27.3.054

MLA:
Barth, Florian, Hendrik Scholz, and Matthias Stegmeier. "Momentum in the European corporate bond market: The role of bond-specific returns." Journal of Fixed Income 27.3 (2018): 54-70.

BibTeX: 

Zuletzt aktualisiert 2018-07-08 um 22:08