Semiannual seasonality in high-yield bond returns exploitable patterns

Journal of Portfolio Management

Volumn 26, Issue 4, 2000, Pages 102-111

  Fridson, Martin S ^a  

^a Merrill Lynch   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034195427     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2000.319768     Document Type: Article

References (7)

1. Cooper, Rick A., and Joel M. Shulman. "The Year-End Effect in Junk Bond Prices." Financial Analysts Journal, September/October 1994, pp. 61-65.
2. Fridson, Martin S. "Do High Yield Bonds Have an Equity Component?" Financial Management, Summer 1994, pp. 76-78.
3. Fridson, Martin S., and Steven B. Jones. "The Turn-of-the-Year Effect in High Yield Bonds." High Performance: The Magazine of High Yield Bonds, November 1988, pp. 6-17.
4. Harding, Sy. "Seasons in the Sun." Barron's, September 6, 1999, p. 22.
5. Haugen, Robert A., and Josef Lakonishok. The Incredible January Effect: The Stock Market's Unsolved Mystery. Homewood, Illinois: Dow Jones-Irwin, 1988.
6. Maxwell, William F. "The January Effect in the Corporate Bond Market." Financial Management, Summer 1998, pp. 18-30.
7. Wachtel, Sidney B. "Certain Observations on Seasonal Movements in Stock Prices." Journal of Business, April 1942, pp. 184-193.