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Is There a January Effect in Corporate Bond and Paper Returns?

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  • Wilson, Jack W
  • Jones, Charles P

Abstract

This paper examines the question of seasonality in corporate bond and commercial paper returns by testing specifically for a January effect. Complete data covering a 131-year period for both series, as well as term premiums, are analyzed using a procedure that provides consistent estimates of the variance-covariance matrix. The results suggest that a January effect does exist for both assets for the entire period; however, closer examination reveals a strong January effect for the pre-1915 period, but a dampening thereafter. The authors conclude that precise results depend primarily upon the time period chosen and the debt instrument examined. Tests involving the inflation rate strengthen the case for a January seasonal. Copyright 1990 by MIT Press.

Suggested Citation

  • Wilson, Jack W & Jones, Charles P, 1990. "Is There a January Effect in Corporate Bond and Paper Returns?," The Financial Review, Eastern Finance Association, vol. 25(1), pages 55-79, February.
    • Handle: RePEc:bla:finrev:v:25:y:1990:i:1:p:55-79
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    Citations

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    Cited by:

    1. Athanassakos, George & Tian, Yisong Sam, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, Elsevier, vol. 7(1), pages 65-86.
    2. Christiansen, Charlotte, 2002. "Credit spreads and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 279-295.
    3. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
    4. Bayraci, Selcuk, 2007. "Modeling the volatility of FTSE All Share Index Returns," MPRA Paper 28095, University Library of Munich, Germany.
    5. George Athanassakos & Yisong Sam Tian, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, John Wiley & Sons, vol. 7(1), pages 65-86.
    6. Al-Khazali, Osamah M., 2001. "Does the January effect exist in high-yield bond market?," Review of Financial Economics, Elsevier, vol. 10(1), pages 71-80.
    7. Kam, C. Chan & H., K. Wu, 1995. "Another look on bond market seasonality: a note," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1047-1054, September.
    8. Nippani, Srinivas & Pennathur, Anita K., 2004. "Day-of-the-week effects in commercial paper yield rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 508-520, September.
    9. Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence, 2013. "The January effect for individual corporate bonds," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 69-77.
    10. Osamah M Al‐Khazali, 2001. "Does the January effect exist in high‐yield bond market?," Review of Financial Economics, John Wiley & Sons, vol. 10(1), pages 71-80, March.

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