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Accounting year-end dispersion and seasonality in the Japanese corporate bond market

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  • Kenji Matsui

Abstract

Using monthly yield data on straight bonds, this article investigates seasonality in the Japanese corporate bond market. A statistical examination of spreads between the yield of each bond and a bond market index reveals that the yield spread consistently decreases from April to August, whereas it increases from September to December. Because accounting year-ends for most investors in Japan are concentrated in either March or December, this seasonality supports the hypotheses of tax-loss selling and window dressing. Moreover, the seasonality becomes more pronounced as the debt rating declines, consistent with the findings in previous studies investigating the US bond market.

Suggested Citation

  • Kenji Matsui, 2011. "Accounting year-end dispersion and seasonality in the Japanese corporate bond market," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3733-3744.
    • Handle: RePEc:taf:applec:v:43:y:2011:i:26:p:3733-3744
    DOI: 10.1080/00036841003705311
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    Cited by:

    1. Evgeny Danilov, 2023. "Impact of Market Changes and Regulatory Measures on Accuracy of Bond Valuation in Portfolios of Russian Credit Institutions," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 108-125, December.

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