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Journal Article

Seasonality in Daily Bond Returns

Susan D. Jordan and Bradford D. Jordan
The Journal of Financial and Quantitative Analysis
Vol. 26, No. 2 (Jun., 1991), pp. 269-285
DOI: 10.2307/2331269
Stable URL: http://www.jstor.org/stable/2331269
Page Count: 17
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Seasonality in Daily Bond Returns
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Abstract

This paper tests for seasonal patterns in corporate bond returns using the Dow Jones Composite Bond Average. Each seasonal pattern documented for equities is investigated. For the period 1963-1986, corporate bond returns exhibit January, turn-of-the-year, and week-of-the-month effects, but no significant day-of-the-week or turn-of-the-month effects. In contrast, for the S&P 500 stock index, the turn-of-the-month and day-of-the-week effects are highly significant, but the week-of-the-month effect is less significant, and the January and turn-of-the-year effects are insignificant. The behavior of an equity index constructed using companies in the bond index is similar to that of the S&P, except the turn-of-the-year effect is significant.

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