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...

Finance research has focused primarily on the diversification of stock portfolios. Various metrics are used herein to assess the diversification benefits, and the optimal bond portfolio sizes (PSs) for investment opportunity (IO) sets differentiated by issuer type, credit ratings and...

This appears to be the first investigation of the impact of bond index additions and deletions on the returns of bonds and stocks of the underlying issuers using various unconditional and conditional return-generating models. The effect of additions and deletions is symmetric for each asset...

Purpose – Most of the credit spread literature deals with the determinants of credit spread changes for individual bonds. The purpose of this paper is to investigate the explanatory power of credit spread changes and their determinants for portfolios. Design/methodology/approach – Using...

This paper examines the effect of corporate governance on the likelihood of issuing Seasoned Equity Offerings (SEO) between 1990 and 2005. It also examines the long-run post-issue performance using operating and stock return measures. Our results suggest that well-governed firms are less likely...