The Year-End Effect in Junk Bond Prices
Returns on speculative-grade bonds exhibit significant year-end effects. The average return on these bonds declines at the end of the year and rebounds above the previous level at the beginning of the following year. The greatest rebound occurs with bonds that previously performed the poorest.
Saved in:
| Published in: | Financial analysts journal Vol. 50; no. 5; pp. 61 - 65 |
|---|---|
| Main Authors: | , |
| Format: | Journal Article |
| Language: | English |
| Published: |
Charlottesville
The Association for Investment Management and Research
01-09-1994
National Federation of Financial Analysts Societies Taylor & Francis Ltd |
| Subjects: | |
| Online Access: | Get full text |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Abstract | Returns on speculative-grade bonds exhibit significant year-end effects. The average return on these bonds declines at the end of the year and rebounds above the previous level at the beginning of the following year. The greatest rebound occurs with bonds that previously performed the poorest. |
|---|---|
| AbstractList | Speculative-grade bonds demonstrate a significant year-end effect. Investors can profit from this effect through judicious trading of "junk" bonds at the end of one year and the beginning of the next. Returns on speculative-grade bonds exhibit significant year-end effects. The average return on these bonds declines at the end of the year and rebounds above the previous level at the beginning of the following year. The greatest rebound occurs with bonds that previously performed the poorest. A study computed the returns to speculative-grade bonds around the turn of the year and compared them with returns during the preceding year. It was found that returns on speculative-grade bonds are significantly higher at the year's beginning than at its end or during the prior year. The difference in returns is most significant for bonds that were previously the poorest performers. Additionally, the returns at year-end are significantly lower than earlier during the year and are correlated with the prior performance. Such anomalies appear to provide a turn-of-the-year trading rule in junk bonds. These annual patterns of returns indicate unusual activity consistent with claims of window dressing on the part of fund managers. |
| Author | Joel M. Shulman Rick A. Cooper |
| Author_xml | – sequence: 1 givenname: Rick A. surname: Cooper fullname: Cooper, Rick A. – sequence: 2 givenname: Joel M. surname: Shulman fullname: Shulman, Joel M. |
| BookMark | eNp10M9LwzAUB_AgE9ymR28eioKeWpO8pm2OOuYvBnqYoKeQpS_YuqUzWQX_ezMmHgThQXjhw5fHd0QGrnNIyDGjGc8LeWl1m30KmjmRFWyPDJmEKgVgfECGlDKRMlm9HJBRCG1cOeRiSC7mb5i8ovbp1NXJ1Fo0m6RxyUPv3pPrLv49-cZgOCT7Vi8DHv28Y_J8M51P7tLZ4-395GqWGlZJmdZgqKRljZxzqBZgdGkXErUFDragFIxFtMgYLihHjaaAmtdMGA5S6ILDmJzvcte---gxbNSqCQaXS-2w64OCqmRcCBnh6R_Ydr138TbFmYwDTER09h9ikJcS4rHbqHSnjO9C8GjV2jcr7b8Uo2rbrIrNqtisckIVLPqTnW_DpvO_OI-BZSngG6JFdKU |
| CODEN | FIAJA4 |
| CitedBy_id | crossref_primary_10_1016_j_irfa_2013_06_001 crossref_primary_10_1016_S1058_3300_96_90004_X crossref_primary_10_1016_S1057_5219_02_00080_7 crossref_primary_10_1287_mnsc_2017_2935 crossref_primary_10_1080_00036841003705311 crossref_primary_10_1007_s11142_016_9374_y crossref_primary_10_3905_jpm_2000_319768 crossref_primary_10_1016_S0927_5398_99_00016_X crossref_primary_10_1007_s12197_021_09550_y |
| ContentType | Journal Article |
| Copyright | Copyright 1994 The Association for Investment Management and Research (AIMR) Copyright Association for Investment Management and Research Sep/Oct 1994 |
| Copyright_xml | – notice: Copyright 1994 The Association for Investment Management and Research (AIMR) – notice: Copyright Association for Investment Management and Research Sep/Oct 1994 |
| DBID | AAYXX CITATION K30 PAAUG PAWHS PAWZZ PAXOH PBHAV PBQSW PBYQZ PCIWU PCMID PCZJX PDGRG PDWWI PETMR PFVGT PGXDX PIHIL PISVA PJCTQ PJTMS PLCHJ PMHAD PNQDJ POUND PPLAD PQAPC PQCAN PQCMW PQEME PQHKH PQMID PQNCT PQNET PQSCT PQSET PSVJG PVMQY PZGFC SFNNT 0U~ 1-H 3V. 7WY 7WZ 7X1 7XB 87Z 8A9 8AO 8BJ 8FK 8FL 8G5 ABUWG AFKRA ANIOZ AZQEC BENPR BEZIV CCPQU DWQXO FQK FRAZJ FRNLG F~G GNUQQ GUQSH JBE K60 K6~ L.- L.0 M0C M2O MBDVC PQBIZ PQBZA PQEST PQQKQ PQUKI PRINS Q9U S0X |
| DOI | 10.2469/faj.v50.n5.61 |
| DatabaseName | CrossRef Periodicals Index Online Primary Sources Access—Foundation Edition (Plan E) - West Primary Sources Access (Plan D) - International Primary Sources Access & Build (Plan A) - MEA Primary Sources Access—Foundation Edition (Plan E) - Midwest Primary Sources Access—Foundation Edition (Plan E) - Northeast Primary Sources Access (Plan D) - Southeast Primary Sources Access (Plan D) - North Central Primary Sources Access—Foundation Edition (Plan E) - Southeast Primary Sources Access (Plan D) - South Central Primary Sources Access & Build (Plan A) - UK / I Primary Sources Access (Plan D) - Canada Primary Sources Access (Plan D) - EMEALA Primary Sources Access—Foundation Edition (Plan E) - North Central Primary Sources Access—Foundation Edition (Plan E) - South Central Primary Sources Access & Build (Plan A) - International Primary Sources Access—Foundation Edition (Plan E) - International Primary Sources Access (Plan D) - West Periodicals Index Online Segments 1-50 Primary Sources Access (Plan D) - APAC Primary Sources Access (Plan D) - Midwest Primary Sources Access (Plan D) - MEA Primary Sources Access—Foundation Edition (Plan E) - Canada Primary Sources Access—Foundation Edition (Plan E) - UK / I Primary Sources Access—Foundation Edition (Plan E) - EMEALA Primary Sources Access & Build (Plan A) - APAC Primary Sources Access & Build (Plan A) - Canada Primary Sources Access & Build (Plan A) - West Primary Sources Access & Build (Plan A) - EMEALA Primary Sources Access (Plan D) - Northeast Primary Sources Access & Build (Plan A) - Midwest Primary Sources Access & Build (Plan A) - North Central Primary Sources Access & Build (Plan A) - Northeast Primary Sources Access & Build (Plan A) - South Central Primary Sources Access & Build (Plan A) - Southeast Primary Sources Access (Plan D) - UK / I Primary Sources Access—Foundation Edition (Plan E) - APAC Primary Sources Access—Foundation Edition (Plan E) - MEA Periodicals Index Online Segment 44 Global News & ABI/Inform Professional Trade PRO ProQuest Central (Corporate) ABI/INFORM Collection ABI/INFORM Global (PDF only) Accounting & Tax Database ProQuest Central (purchase pre-March 2016) ABI/INFORM Global (Alumni Edition) Accounting & Tax Database (Alumni Edition) ProQuest Pharma Collection International Bibliography of the Social Sciences (IBSS) ProQuest Central (Alumni) (purchase pre-March 2016) ABI/INFORM Collection (Alumni Edition) Research Library (Alumni Edition) ProQuest Central (Alumni) ProQuest Central Accounting, Tax & Banking Collection ProQuest Central Essentials AUTh Library subscriptions: ProQuest Central Business Premium Collection ProQuest One Community College ProQuest Central International Bibliography of the Social Sciences Accounting, Tax & Banking Collection (Alumni) Business Premium Collection (Alumni) ABI/INFORM Global (Corporate) ProQuest Central Student Research Library Prep International Bibliography of the Social Sciences ProQuest Business Collection (Alumni Edition) ProQuest Business Collection ABI/INFORM Professional Advanced ABI/INFORM Professional Standard ABI/INFORM Global (ProQuest) Research Library Research Library (Corporate) One Business ProQuest One Business (Alumni) ProQuest One Academic Eastern Edition (DO NOT USE) ProQuest One Academic ProQuest One Academic UKI Edition ProQuest Central China ProQuest Central Basic SIRS Editorial |
| DatabaseTitle | CrossRef Periodicals Index Online Segment 44 Periodicals Index Online Segments 1-50 Periodicals Index Online ABI/INFORM Global (Corporate) ProQuest Business Collection (Alumni Edition) ProQuest One Business Research Library Prep ProQuest Central Student ProQuest Central Essentials SIRS Editorial ProQuest Central (Alumni Edition) ProQuest One Community College Research Library (Alumni Edition) Trade PRO Accounting & Tax ProQuest Pharma Collection ProQuest Central China ABI/INFORM Complete ProQuest Central Global News & ABI/Inform Professional ABI/INFORM Professional Advanced International Bibliography of the Social Sciences (IBSS) ABI/INFORM Professional Standard ProQuest Central Korea Accounting, Tax & Banking Collection (Alumni) Accounting & Tax (Alumni Edition) ProQuest Research Library ABI/INFORM Complete (Alumni Edition) Business Premium Collection ABI/INFORM Global ABI/INFORM Global (Alumni Edition) ProQuest Central Basic ProQuest One Academic Eastern Edition ProQuest Business Collection Accounting, Tax & Banking Collection ProQuest One Academic UKI Edition ProQuest One Business (Alumni) ProQuest One Academic ProQuest Central (Alumni) Business Premium Collection (Alumni) |
| DatabaseTitleList | Periodicals Index Online Segment 44 ABI/INFORM Global (Corporate) |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Business |
| EISSN | 1938-3312 |
| EndPage | 65 |
| ExternalDocumentID | 17315 10_2469_faj_v50_n5_61 4479775 |
| GeographicLocations | United States--US |
| GeographicLocations_xml | – name: United States--US |
| GroupedDBID | -ET -~X 1A9 1OL 29H 3V. 5GY 7WY 7X1 85S 8A9 8AO 8FL 8G5 8H~ 8R4 8R5 8VB AABCJ AAIKC AAMNW AANYG ABBHK ABECW ABKVW ABLJU ABPPZ ABUWG ABXSQ ABYRZ ABYYQ ACGFO ACHQT ACIHN ACNCT ACNXC ACNXV ACVFL ADGDI ADMHP ADPTO ADQGD ADRTI ADULT AEAQA AECIN AEMOZ AEUPB AEYOC AFFNX AFKRA AGQQZ AHAJD AHEXP AKVCP ALMA_UNASSIGNED_HOLDINGS ANIOZ AS~ AZQEC AZRUE B-7 BENPR BEZIV BHNFS BPHCQ CBXGM CCPQU CHNMF CS3 CWXUR CZBKB DWQXO E.L EBE EBO EBR EBS EBU EJD EMK EPL FRNLG GNUQQ GPZZG GROUPED_ABI_INFORM_COMPLETE GROUPED_ABI_INFORM_RESEARCH GUQSH HECYW HJNLM HVGLF H~9 JAAYA JAB JBMMH JBU JENOY JHFFW JKQEH JLEZI JLXEF JPL JPPEU JSODD JST K1G K60 K6~ M0C M2O NHB P2P PQBIZ PQQKQ PRG PROAC Q2X QWB RNS S0X SA0 SJN TFH TFL TFW TH9 TN5 U5U UHB UPT VQA WH7 XFK XSW XZL ZCA ZCG ZL0 0BK 0R~ 41~ AAFVA AAHCP AAMFJ AAMIU AAPUL AAUTI AAYXX AAZMC ABGBO ABLIJ ABRLO ABXYU ACEWE ACPVT ACUHF ADACV ADAHI ADIYS ADKVQ ADMHG AEISY AEMXT AEQHL AEZRU AFUNZ AGDLA AGRBW AHDZW AHSWU AKBVH ALQZU AOTUK APTMU AWPGZ BLEHA BMOTO BOHLJ CITATION DGFLZ H13 IPSME KYCEM LJTGL M4Z MVM PQBZA RNANH ROSJB RSYQP TAE TBQAZ TDBHL TEK TNTFI TUROJ UGJ WHG XAX K30 PAAUG PAWHS PAWZZ PAXOH PBHAV PBQSW PBYQZ PCIWU PCMID PCZJX PDGRG PDWWI PETMR PFVGT PGXDX PIHIL PISVA PJCTQ PJTMS PLCHJ PMHAD PNQDJ POUND PPLAD PQAPC PQCAN PQCMW PQEME PQHKH PQMID PQNCT PQNET PQSCT PQSET PSVJG PVMQY PZGFC SFNNT 0U~ 1-H 7XB 8BJ 8FK FQK JBE L.- L.0 MBDVC PQEST PQUKI PRINS Q9U |
| ID | FETCH-LOGICAL-c1899-d3c0907de22238b3ca7fb9eaf323f6003cfeefe11eb02eaec63d2d15c2395a623 |
| IEDL.DBID | JBU |
| ISSN | 0015-198X |
| IngestDate | Fri Oct 25 04:54:35 EDT 2024 Thu Oct 10 18:50:02 EDT 2024 Thu Oct 10 15:08:49 EDT 2024 Fri Nov 22 00:08:12 EST 2024 Fri Feb 02 07:00:44 EST 2024 |
| IsPeerReviewed | true |
| IsScholarly | true |
| Issue | 5 |
| Language | English |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c1899-d3c0907de22238b3ca7fb9eaf323f6003cfeefe11eb02eaec63d2d15c2395a623 |
| Notes | ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
| PQID | 219219315 |
| PQPubID | 2027614 |
| PageCount | 5 |
| ParticipantIDs | proquest_miscellaneous_38712559 proquest_journals_219219315 proquest_journals_1347930909 crossref_primary_10_2469_faj_v50_n5_61 jstor_primary_4479775 |
| PublicationCentury | 1900 |
| PublicationDate | 19940901 1994-09-00 |
| PublicationDateYYYYMMDD | 1994-09-01 |
| PublicationDate_xml | – month: 9 year: 1994 text: 19940901 day: 1 |
| PublicationDecade | 1990 |
| PublicationPlace | Charlottesville |
| PublicationPlace_xml | – name: Charlottesville |
| PublicationTitle | Financial analysts journal |
| PublicationYear | 1994 |
| Publisher | The Association for Investment Management and Research National Federation of Financial Analysts Societies Taylor & Francis Ltd |
| Publisher_xml | – name: The Association for Investment Management and Research – name: National Federation of Financial Analysts Societies – name: Taylor & Francis Ltd |
| SSID | ssj0012345 |
| Score | 1.4394916 |
| Snippet | Returns on speculative-grade bonds exhibit significant year-end effects. The average return on these bonds declines at the end of the year and rebounds above... Speculative-grade bonds demonstrate a significant year-end effect. Investors can profit from this effect through judicious trading of "junk" bonds at the end... A study computed the returns to speculative-grade bonds around the turn of the year and compared them with returns during the preceding year. It was found that... |
| SourceID | proquest crossref jstor |
| SourceType | Aggregation Database Publisher |
| StartPage | 61 |
| SubjectTerms | Bond management Bonds Coefficients Corporate debt Economic models Equity Financial advisers Financial portfolios Investment Junk bonds Market analysis Mathematical constants Modeling Price quotations Prices Rates of return Statistical analysis Studies |
| Title | The Year-End Effect in Junk Bond Prices |
| URI | https://www.jstor.org/stable/4479775 https://www.proquest.com/docview/1347930909 https://www.proquest.com/docview/219219315 https://search.proquest.com/docview/38712559 |
| Volume | 50 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://sdu.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwjV3JTsMwEB1RDogLaxFlKTkgOLn1EqfNkaUV4sAFkMrJSuyxxCKDKOX7GSdpJVQhIeXmWEmeJ573NOMZgFNZ0I6nM8UyXkqW5qgZ8WbOsLSZ5U56VTWbuLkf3E2G16NYJud0fhYmplVWeYFVFJ8IUvmG_TQdEE3RLWiRt6wbTy8iBVKlTZcCzUhAT-o6mpJUX98XL71vzXtB9zLxy-_UqYdL22_lU8ab_3ubLdhoOGNyUS_yNqxg2IG1ecr6LpzTWidPZLJsFFxS1yNOnkNyOwuvSewbnFTN3adteByPHq5uWNMAgVlBOog5ZTmJV4fRiQ9LZYuBL3MsvJLKE1NR1iN6FAJLLrFAmyknndBWqlwXRGz2YDW8B9yHRAg7VJnn2itMEUlouQGnq3Sy5LqQHTibw2M-6joXhvRBxNEQjoZwNEGbTHSgXSGyuKuBowNHczBN8xtMTX1Olb4h78Dh8rCMxdhyJWjyyWKUzDvGLIqA77OpUSToouo5-OOxh7BeVzeOWV9HsPr1OcNjaE3drBt3uMtuZS0_B1W4eQ |
| link.rule.ids | 315,782,786,846,2421,27933,27934,54532,54538,58038,58271 |
| linkProvider | JSTOR |
| linkToHtml | http://sdu.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwjV1LS8QwEB58gHrxLa7PHkRPWfNoutuj6Mr6vKigp9AmE_BBVlzX3--k7S6ICEJvaWj7ZZr5PmYyA3AgC9rxdKZYxkvJ0hw1I97MGZY2s9xJr6pmE_27zu1j96wXy-QcjM_CxLTKKi-wiuITQSrf8DhNO0RT9DTMkr9X3br19CRWIFXa9CnQjCT0Y11JU5LuO_bFS_tL83bQ7Uz88Dx18uGvDbjyKudL_3ufZVhsWGNyUi_zCkxhWIW5cdL6GhzRaidPZLSsF1xSVyROnkNyOQqvSewcnFTt3Yfr8HDeuz_ts6YFArOClBBzynKSrw6jG--WyhYdX-ZYeCWVJ66irEf0KASWXGKBNlNOOqGtVLkuiNpswEwYBNyERAjbVZnn2itMEUlquQ6nq3Sy5LqQLTgcw2Pe60oXhhRCxNEQjoZwNEGbTLRgvUJkclcDRwt2xmCa5kcYmvqkKn1D3oLt38MylmPLlaDJ-5NRMvAYtSgCDkZDo0jSRd2z9cdj92G-f39zba4vbq-2YaGudRxzwHZg5vNjhLswPXSjvcpmvgGO2Lre |
| linkToPdf | http://sdu.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwjV3fT9swED6NTkK8wDZAdMDIwwS8uPWPOGkeYW3FAKFJA6k8WYl9lmCTW9GVv59zklZCCGlS3hwryeeL7z7d-TuA77KkHU9nimW8kiwtUDOKmznDymaWO-lV3Wzi4nd-MxkMR1Em53R5FiaWVdZ1gXUWnwKk6i_2Z8730zSnUEWvwUc9kHkjTn--yhdIlba9CjQjGj1p1DQlcb--Lx97z5r3gu5l4pX3aQoQ32zCtWcZb_3_O32CzTZ6TM6a5f4MHzB8gfVl8fo2nNCqJ_dkvGwUXNIoEycPIblchD9J7CCc1G3e5ztwNx7d_rhgbSsEZgUxIuaU5URjHUZ3PqiULXNfFVh6JZWnmEVZj-hRCKy4xBJtppx0QlupCl1SiLMLnTANuAeJEHagMs-1V5giEuVyOaercrLiupRdOF5CZGaN4oUhphCxNISlISxN0CYTXdipUVnd1cLRhYMloKb9IeamObFK31B0Yf_tsIyybIUSNPloNUqGHrMXZcDpYm4UUbvIf76-89gjWP81HJvrnzdX-7DRSB7HUrAD6Px7WuAhrM3d4lttNi-hWr0y |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=The+Year-End+Effect+in+Junk+Bond+Prices&rft.jtitle=Financial+analysts+journal&rft.au=Rick+A.+Cooper&rft.au=Joel+M.+Shulman&rft.date=1994-09-01&rft.pub=The+Association+for+Investment+Management+and+Research&rft.issn=0015-198X&rft.eissn=1938-3312&rft.volume=50&rft.issue=5&rft.spage=61&rft.epage=65&rft_id=info:doi/10.2469%2Ffaj.v50.n5.61&rft.externalDocID=4479775 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0015-198X&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0015-198X&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0015-198X&client=summon |