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

See all articles by Steve Crawford

Steve Crawford

University of Houston

Pietro Perotti

University of Bath - School of Management

Richard A. Price

University of Oklahoma

Christopher J. Skousen

Utah State University - School of Accountancy

Date Written: January 16, 2019

Abstract

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

Crawford, Steve and Perotti, Pietro and Price, Richard A. and Skousen, Christopher J., Financial Statement Anomalies in the Bond Market (January 16, 2019). Financial Analysts Journal, Vol. 75, Issue 3, 2019. Available at SSRN: https://ssrn.com/abstract=2423850 or http://dx.doi.org/10.2139/ssrn.2423850

Steve Crawford

University of Houston ( email )

Houston, TX 77204
United States

Pietro Perotti (Contact Author)

University of Bath - School of Management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

HOME PAGE: http://www.bath.ac.uk/management/faculty/pietro-perotti.html

Richard A. Price

University of Oklahoma ( email )

307 W Brooks
Norman, OK 73019
United States
405-325-5759 (Phone)

Christopher J. Skousen

Utah State University - School of Accountancy ( email )

College of Business
Logan, UT 84322-3540
United States

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