This paper finds significant price momentum in US corporate bonds. The analysis is based on 3.2 million monthly observations from 77,150 bonds from two transaction and three dealer-quote databases over the period from 1973 to 2008. Bond momentum profits are significant in the second half of the...

This paper documents significant momentum in a comprehensive sample of 81,491 US corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by non-investment grade (NIG) bonds. Momentum profits have increased over time along with the growth of this segment....

This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...