The January effect for individual corporate bonds |
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| Affiliation: | 1. Department of Finance, Accounting & Managerial Economics, Suliman S. Olayan School of Business, American University of Beirut (AUB), P.O. Box 11–0236, Bliss Street, Beirut, Lebanon;2. Department of Finance, John Molson School of Business, Concordia University, 1455 de Maisonneuve Blvd. West, Montreal, P.Q. H3G 1M8, Canada;1. Department of Finance and Real Estate, College of Business, Colorado State University, Fort Collins, CO 80523, United States;2. Department of Finance, College of Business and Innovation, University of Toledo, Toledo, OH 43606, United States |
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| Abstract: | We examine the presence, magnitude and determinants of a January effect for individual corporate bonds. Our results provide empirical evidence of positive and statistically (but not economically) significant abnormal returns in January across different event windows and models. Our results suggest that, in the addition to the term and default factors, the excess stock returns, size and book-to-market factors are priced for individual bond returns. We investigate a number of determinants of the January abnormal returns for individual bonds. Our findings suggest that the reversal and tax-loss selling effects are important determinants of the abnormal returns on individual bonds. |
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