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| Published / Preprint: Momentum in Corporate Bond Returns Posted: 27 May 2013 10:36 PM PDT This paper documents significant momentum in a comprehensive sample of 81,491 U.S. corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by noninvestment grade (NIG) bonds. Momentum profits have increased over time, along with the growth of this segment. From 1991 to 2011, they average 59 basis points (bps) per month across all bonds and 192 bps in NIG... Visit MoneyScience for the Complete Article.      |
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