Jostova, Gergana; Nikolova, Stanislava; Philipov, Alexander - In: Review of Financial Studies 26 (2013) 7, pp. 1649-1693
This paper documents significant momentum in a comprehensive sample of 81,491 U.S. corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by noninvestment grade (NIG) bonds. Momentum profits have increased over time, along with the growth of this...