Bektic, D. ; Regele, T. (2018):
Exploiting Uncertainty with Market Timing in Corporate Bond Markets.
In: Journal of Asset Management, 19 (2), pp. 79-92. Palgrave Macmillan, ISSN 1470-8272,
[Article]
Abstract
The purpose of this article is to show the usefulness of technical analysis in credit markets. We document that an application of a simple moving average timing strategy to US high-yield and US investment-grade corporate bond portfolios sorted by option-adjusted spread generates investment timing portfolios that substantially outperform the corresponding benchmark. For portfolios with high uncertainty, as measured by the option-adjusted spread, the abnormal returns generate economically and statistically significant returns relative to the capital asset pricing model, the four-factor model and additionally the bond factor model from Asness et al. (J Finance 68:929–985, 2013). Our results remain robust to different moving average formation periods, transaction costs, long–short portfolio construction techniques and alternative definitions of information uncertainty.
| Item Type: | Article |
|---|---|
| Erschienen: | 2018 |
| Creators: | Bektic, D. ; Regele, T. |
| Title: | Exploiting Uncertainty with Market Timing in Corporate Bond Markets |
| Language: | English |
| Abstract: | The purpose of this article is to show the usefulness of technical analysis in credit markets. We document that an application of a simple moving average timing strategy to US high-yield and US investment-grade corporate bond portfolios sorted by option-adjusted spread generates investment timing portfolios that substantially outperform the corresponding benchmark. For portfolios with high uncertainty, as measured by the option-adjusted spread, the abnormal returns generate economically and statistically significant returns relative to the capital asset pricing model, the four-factor model and additionally the bond factor model from Asness et al. (J Finance 68:929–985, 2013). Our results remain robust to different moving average formation periods, transaction costs, long–short portfolio construction techniques and alternative definitions of information uncertainty. |
| Journal or Publication Title: | Journal of Asset Management |
| Journal volume: | 19 |
| Number: | 2 |
| Publisher: | Palgrave Macmillan |
| Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance |
| Date Deposited: | 21 Dec 2017 08:45 |
| Official URL: | https://doi.org/10.1057/s41260-017-0063-6 |
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