Journal of Financial Markets·Volume 38·March 2018·Pages 60-82

公司债券收益中的动量

作者：Hwai-Chung Ho（Department of Finance, National Taiwan University, and Institute of Statistical Science, Academia Sinica, Taiwan）, Hsiao-Chuan Wang（Department of Finance, National Taiwan University）

摘要：在本文中，我们提出了一个过度反应检测方法来捕捉动量周期中的价格逆转。受投资级（IG）债券缺乏动量效应的驱动（这对大多数金融资产来说并不普遍），我们通过1994年1月至2014年6月美国IG债券的精细动量组合表现显示出显著改善，验证了该方法。私人或公共公司的子样本以及与投资者情绪的关系也显示非投资级（NIG）债券和IG债券的价格动量。我们的研究结果对金融资产和市场价格延续具有重要的一致性影响。

关键词：公司债券，动量，过度反应，分位数风险

Momentum lost and found in corporate bond returns

Hwai-Chung Ho（Department of Finance, National Taiwan University, and Institute of Statistical Science, Academia Sinica, Taiwan）

Hsiao-Chuan Wang（Department of Finance, National Taiwan University）

ABSTRACT

In this paper, we propose an overreaction detection method to capture price reversals in the momentum cycle. Motivated by the absence of the momentum effect in investment-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 both non-investment-grade (NIG) bonds and IG bonds. Our results carry important consistency implications for price continuations across financial assets and markets.

Keywords：Corporate bond, Momentum, Overreaction, Quantile risk

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418116302658#!

翻译：何杉