SSRN-The January Effect in the Corporate Bond Market: A Systematic Examination by William Maxwell

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The January Effect in the Corporate Bond Market: A Systematic Examination

WILLIAM F. MAXWELL
University of Arizona - Department of Finance

Financial Management, Vol 27, No 2

Abstract:
This study examines the strength and causes of the January effect in the corporate bond market. The findings support a relation between this anomaly and the small-firm effect. The January effect is found to be a function of at least two phenomena. First, individual investors show a seasonal demand for noninvestment-grade bonds, but they show no such seasonal demand for investment-grade bonds. These findings are consistent with the increased strength of the January effect as bond rating declines. Second, the study demonstrates a shift in demand for higher-rated bonds at year-end that is related to institutional "window dressing."

JEL Classifications: G12, G14

Accepted Paper Series

Contact Information for WILLIAM F. MAXWELL (Contact Author)

Email address for WILLIAM F. MAXWELL
University of Arizona - Department of Finance
McClelland Hall
P.O. Box 210108
Tucson , AZ 85721-0108
United States

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