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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
Published by: Cambridge University Press on behalf of the University of Washington School of Business Administration
Stable URL: http://www.jstor.org/stable/2331269
Page Count: 17
You can always find the topics here!Topics: Corporate bonds, Stock market indices, Financial bonds, Prices, Bond issues, Dow Jones Industrial Average, Bond markets, Equity, Quantitative analysis, Business structures
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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.
The Journal of Financial and Quantitative Analysis © 1991 University of Washington School of Business Administration