Return reversals in the bond market: Evidence and causes
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Cited by:
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- Lifang Li & Valentina Galvani, 2021. "Informed Trading and Momentum in the Corporate Bond Market [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, vol. 25(6), pages 1773-1816.
- Fang Cai & Song Han & Dan Li, 2012. "Institutional herding in the corporate bond market," International Finance Discussion Papers 1071, Board of Governors of the Federal Reserve System (U.S.).
- Ho, Hwai-Chung & Wang, Hsiao-Chuan, 2018. "Momentum lost and found in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 38(C), pages 60-82.
- Bali, Turan G. & Subrahmanyam, Avanidhar & Wen, Quan, 2021. "Long-term reversals in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 139(2), pages 656-677.
- Kassimatis, Konstantinos & Spyrou, Spyros & Galariotis, Emilios, 2008.
"Short-term patterns in government bond returns following market shocks: International evidence,"
International Review of Financial Analysis, Elsevier, vol. 17(5), pages 903-924, December.
- Emilios C. C Galariotis & Spyros I. Spyrou & Konstantinos Kassimatis, 2008. "Short-term patterns in government bond returns following market shocks: International evidence," Post-Print hal-00765471, HAL.
- Haesen, Daniel & Houweling, Patrick & van Zundert, Jeroen, 2017. "Momentum spillover from stocks to corporate bonds," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 28-41.
- Menz, Klaus-Michael, 2010. "Market discipline and the evaluation of Euro financial bonds--An empirical analysis," Research in International Business and Finance, Elsevier, vol. 24(3), pages 315-328, September.
- Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Cai, Fang & Han, Song & Li, Dan & Li, Yi, 2019.
"Institutional herding and its price impact: Evidence from the corporate bond market,"
Journal of Financial Economics, Elsevier, vol. 131(1), pages 139-167.
- Fang Cai & Song Han & Dan Li & Yi Li, 2016. "Institutional Herding and Its Price Impact : Evidence from the Corporate Bond Market," Finance and Economics Discussion Series 2016-091, Board of Governors of the Federal Reserve System (U.S.).
- Zhang, Heming & Wang, Guanying, 2021. "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
- Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
- Galvani, Valentina & Li, Lifang, 2023.
"Outliers and momentum in the corporate bond market,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 135-148.
- Galvani, Valentina & Li, Lifang, 2022. "Outliers and Momentum in the Corporate Bond Market," Working Papers 2022-3, University of Alberta, Department of Economics.
- van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
- I. Koetsier & J.A. Bikker, 2018. "Herding behavior of Dutch pension funds in asset class investments," Working Papers 18-04, Utrecht School of Economics.
- Gissler, Stefan, 2017. "Lockstep in liquidity: Common dealers and co-movement in bond liquidity," Journal of Financial Markets, Elsevier, vol. 33(C), pages 1-21.
- I. Koetsier & J.A. Bikker, 2018.
"Herding behavior of Dutch pension funds in asset class investments,"
Working Papers
18-04, Utrecht School of Economics.
- Ian Koetsier & Jacob Bikker, 2018. "Herding behavior of Dutch pension funds in asset class investments," DNB Working Papers 602, Netherlands Central Bank, Research Department.
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