Trend Momentum in Corporate Bonds
UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group
Research Seminars in Finance
Topic: Trend Momentum in Corporate Bonds
Speaker: Hai Lin, Victoria University of Wellington
Abstract: This paper investigates bond momentum by utilizing all trend signals in the short-, intermediate- and long-term simultaneously. Using this informationally efficient strategy, we uncover, for the first time, economically significant momentum for corporate bonds across all ratings. Bond momentum has little correlation with stock momentum, and is robust to various controls. It is stronger in the post-TRACE era and during periods with low sentiment and growth. The bond momentum presents the most pronounced cross-sectional anomaly in the corporate bond market to date that challenges the existing rational pricing theory.
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 4th September.
Date: Wednesday, 6th September 2017
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
Building 8
Dr Chau Chak Wing Building
Dr Chau Chak Wing Building
14 - 28 Ultimo Road, Ultimo
Co-ordinator: Adrian Lee (Ph: +61 2 9514 7765)
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)
