Monthly seasonality in U.S. long term corporate bonds

dc.contributor.authorHamid, Shaikh A.
dc.date.accessioned2011-02-07T14:22:54Z
dc.date.available2011-02-07T14:22:54Z
dc.date.issued2010-04
dc.descriptionVersion of Record
dc.description.abstractWe explore monthly seasonality in high grade long term corporate bonds from January 1926 to December 2008. We test three types of month effects. In addition, we analyze the data based on Republican and Democratic presidencies. The mean of monthly total returns for the entire data set (0.50%) is significantly greater than zero. The mean return of January is significantly higher than the mean of the other eleven months stacked together; the mean of March is significantly lower. We find significantly higher or lower volatilities for some months compared to the other months. January experienced the highest mean monthly return, followed by a dip in February and March, and then an upward trend until January. The mean of monthly returns during the Republican presidencies (0.66%) is significantly higher than during the Democratic presidencies (0.33%). Though not fully efficient the U.S. corporate bond market exhibits a high degree of efficiency.en_US
dc.description.bibliographicCitationHamid, S. A. (2010, April). Monthly Seasonality in U.S. Long Term Corporate Bonds. In Proceedings of the Academy of Accounting and Financial Studies, 15(1). New Orleans, LA.en_US
dc.format.extent303512 bytesen_US
dc.format.mediaTypeapplication/pdfen_US
dc.identifier.urihttps://hdl.handle.net/10474/1704
dc.language.isoen_USen_US
dc.publisherAllied Academiesen_US
dc.relation.ispartofhttp://www.alliedacademies.org/Public/Proceedings/Proceedings26/AAFS%20Proceedings.pdfen_US
dc.relation.requiresAdobe Acrobat Readeren_US
dc.rightsPublisher retains all ownership rights. Further reproduction in violation of copyright is prohibiteden_US
dc.titleMonthly seasonality in U.S. long term corporate bondsen_US
dc.typeConference Paperen_US
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