Nippani, Srinivas; Arize, Augustine C. - In: Review of Financial Economics 17 (2008) 3, pp. 157-171
We examine three major U.S. corporate bond market indices for calendar-based anomalies over the period 1982-2002. The analysis covers the entire corporate bond market and two broad industry classes: industrials and utilities. We find mixed support for the weekend effect in the overall bond index...