Work

Financial Statement Anomalies in the Bond Market

Year: 2019

Type: article

Abstract: We investigate the association between bond returns and 32 financial statement variables. Our findings show that 17 of the 32 financial statement measures we examine are significantly related to future bond returns. Evidence of inefficiency is more pronounced when institutional investors are less active and when there is more uncertainty about the creditworthiness of the issuer. We contribute to the literature by significantly expanding the number of anomalies analyzed and by providing practitioners with actionable guidance on which trading strategies may be profitable in the bond market.

Source: Financial Analysts Journal

DOI: 10.1080/0015198x.2019.1572377

Authors: Steven S. Crawford, Pietro Perotti, Richard A. Price, Christopher J. Skousen

Institutions: University of Houston, University of Bath, University of Oklahoma, Utah State University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3122948416

FWCI: 2.119

Cites: 52

Cited by: 22

Related to: 10