Financial Statement Anomalies in the Bond Market
Financial Analysts Journal, Vol. 75, Issue 3, 2019
35 Pages Posted: 12 Apr 2014 Last revised: 5 Jun 2019
Date Written: January 16, 2019
We investigate the association between bond returns and 32 financial statement variables. Our findings show that 17 of the 32 financial statement measures we examine are significantly related to future bond returns. Evidence of inefficiency is more pronounced when institutional investors are less active and when there is more uncertainty about the creditworthiness of the issuer. We contribute to the literature by significantly expanding the number of anomalies analyzed and by providing practitioners with actionable guidance on which trading strategies may be profitable in the bond market.
Keywords: bond returns, market efficiency, financial statement anomalies
JEL Classification: G12, G14, M41
Suggested Citation: Suggested Citation