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The Momentum Effect for Canadian Corporate Bonds

Author

Listed:
  • Galvani, Valentina

    (University of Alberta, Department of Economics)

  • Li, Lifang

    (University of Alberta, Department of Economics)

Abstract
Using bond-level data for a sample ranging from 1987 to 2016 we document that the momentum effect is significant in the Canadian market for corporate bonds. The strategy yields momentum gains that are comparable to those observed for US corporate bonds. Conditioning on the market state (UP/ DOWN) doubles the returns on the momentum portfolio for holding periods ranging from one month up to two years. Further, momentum gains are exclusive to the UP market state. The conditional analysis further reveals that the state of the market brings about sizable momentum returns also for investment grade bonds, especially in the most recent years of the sample.

Suggested Citation

  • Galvani, Valentina & Li, Lifang, 2018. "The Momentum Effect for Canadian Corporate Bonds," Working Papers 2018-16, University of Alberta, Department of Economics.
    • Handle: RePEc:ris:albaec:2018_016
    as

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    File URL: https://sites.ualberta.ca/~econwps/2018/wp2018-16.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    market states; investment grade; momentum; institution investors; Canadian corporate bonds;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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