We examine the presence, magnitude and determinants of a January effect for individual corporate bonds. Our results provide empirical evidence of positive and statistically (but not economically) significant abnormal returns in January across different event windows and models. Our results...

The dynamic betas for ten Canadian sector portfolios using the Kalman filter approach are estimated herein and are found to be best described by a mix of the random walk (trend) and mean-reverting (cycle) processes. The relative importance of the trend and cycle components of sector betas is...