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

Barth F, Scholz H, Stegmeier M (2018)

Publication Language: English

Publication Type: Journal article

Publication year: 2018

Journal

Journal of Fixed Income Institutional Investor Systems

Book Volume: 27

Pages Range: 54-70

Journal Issue: 3

DOI: 10.3905/jfi.2018.27.3.054

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.

Authors with CRIS profile

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

How to cite

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://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.

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