Momentum of Rated Corporate Bonds with Quantile Risk Adjustment

• Main Authors: Hsiao-Chuan Wang, 王筱娟
• Other Authors: 何淮中
• Format: Others
• Language: en_US
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/t9ry6c

博士 === 國立臺灣大學 === 財務金融學研究所 === 105 === This dissertation proposes an overreaction detection method to capture the price reversals in the momentum cycle. Motivated by the absence of the momentum effect in invest-ment-grade (IG) bonds, which is uncommon for most financial assets, we verify the method by showing significant improvements in the refined momentum portfolios of U.S. IG bonds from January 1994 to June 2014. The subsample of private or public firms and the relation to investor sentiment also indicate price momentum for not only non-investment-grade (NIG) bonds, but also IG bonds. Our results carry important con-sistency implications for the price continuations across financial assets and markets.