In this paper, we uncover the first momentum pattern of corporate bonds. In contrast to the popular stock momentum, originated by Jegadeesh and Titman (1993) but unextendable to bonds, our momentum is based on the risk components of the bonds rather than past returns. We find that bonds with...

We document that the first and third cross-sectional moments of corporate bond returns significantly and positively predict future stock market returns both in- and out-of-sample. The predictability emerges from informed bond trading and gradual diffusion of information. Particularly, the...