Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2023 erstellt
Description:
In this paper, we uncover the first momentum pattern of corporate bonds. In contrast to the popular stock momentum, originated by Jegadeesh and Titman (1993) but unextendable to bonds, our momentum is based on the risk components of the bonds rather than past returns. We find that bonds with high risks persistently earn greater average returns in the future than those with lower risks over time. Both bond and stock characteristics play a role in determining bond risk, and the risk itself possesses a momentum pattern too: high risk this month tends to predict high risk next month. The bond return momentum is driven by the risk momentum. Moreover, the average returns on the risk-based bond return momentum is about the same magnitude of the traditional stock momentum, yet it has no crash risk