Momentum Spillover from Stocks to Corporate Bonds

47 Pages Posted: 22 Aug 2012 Last revised: 20 Jul 2017

See all articles by Daniel Haesen

Daniel Haesen

Robeco Investment Research

Patrick Houweling

Robeco Asset Management

Jeroen van Zundert

Cubist Systematic Strategies

Date Written: January 27, 2017


We investigate and improve momentum spillover from stocks to corporate bonds, i.e. the phenomenon that past winners in the equity market are future winners in the corporate bond market. We find that a momentum spillover strategy exhibits strong structural and time-varying default risk exposures that cause a drag on the profitability of the strategy and lead to large drawdowns if the market cycle turns from a bear to a bull market. By ranking companies on their firm-specific equity return, instead of their total equity return, the default risk exposures halve, the Sharpe ratio doubles and the drawdowns are substantially reduced.

Keywords: corporate bond, momentum, time-varying risk, residual return

JEL Classification: G11, G12, G14

Suggested Citation

Haesen, Daniel and Houweling, Patrick and van Zundert, Jeroen, Momentum Spillover from Stocks to Corporate Bonds (January 27, 2017). Journal of Banking and Finance, 2017, Vol. 79, Available at SSRN: or

Daniel Haesen (Contact Author)

Robeco Investment Research ( email )

Weena 850
Rotterdam, 3014 DA
+31 10 224 7167 (Phone)


Patrick Houweling

Robeco Asset Management ( email )

Rotterdam, 3011 AG

Jeroen Van Zundert

Cubist Systematic Strategies ( email )

55 Hudson Yards
10th Floo
New York, NY 10001
United States

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