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Does the January effect exist in high-yield bond market?
- Source :
- Review of Financial Economics; Spring2001, Vol. 10 Issue 1, p71, 10p, 1 Graph
- Publication Year :
- 2001
-
Abstract
- Previous studies show that January returns in high-yield bond (HYB) markets are usually large. While these results are ubiquitous, their validity depends on the robustness of statistical procedures used. Virtually every study of seasonal variation in HYB markets has used mean/variance analysis despite it being well documented that returns in HYB markets are nonnormally distributed. This study uses stochastic dominance comparisons to audit previous parametric tests of the January effect in HYB markets in the U.S. from 1926 to 1993. Results indicate that the January effect in HYB markets is robust and that previous findings are not an artifact deriving from violations of distributional assumptions. (C) 2001 Elsevier Science Inc. All rights reserved. [ABSTRACT FROM AUTHOR]
- Subjects :
- JUNK bonds
RATE of return
BONDS (Finance)
STOCHASTIC analysis
Subjects
Details
- Language :
- English
- ISSN :
- 10583300
- Volume :
- 10
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Review of Financial Economics
- Publication Type :
- Academic Journal
- Accession number :
- 4701769
- Full Text :
- https://doi.org/10.1016/S1058-3300(01)00026-X