This paper examines the pricing of exchange-traded long-term corporate bond portfolios.
Observable instruments measuring the term structure of interest rates, levels of bond and …

Tinic and West (1984) argue that a tradeoff between risk and return exists only in January.
This study demonstrates that it is not just the January Effect on stock returns which is related …

This paper extends the risk‐neutrality default model of municipal bonds to consider the effect
of risk aversion on the estimation of default probability. A model is proposed to separate the …

We propose a flow-based explanation for two long-standing anomalies in empirical finance–
Sell in May and the January effect. We find that mutual fund flows exhibit similar seasonal …

This paper employed eleven data series which consist of stocks, bonds, bills, equity
premiums, term premiums, and various default premiums to investigate whether January …

This note provides evidence that there exists business cycle effects on the monthly returns of
long-term government bond and low-grade corporate bond. In addition, the results of the …

The objective of this paper is to analyze the impact of business cycles on the monthly
seasonality of fixed income securities. In general, the results suggest that the average …

This article analyzes perpetual American strangles with no recourse to advanced numerical
techniques. Our analytical approach rests on an analogy with asymmetric rebates of double …

This paper addresses the issue of seasonality in the returns of defaulted corporate bonds.
We find evidence of seasonality in monthly returns for January and October from 1970 to …

The purpose of this dissertation is to determine whether size and book value to market value
(BV/MV) effects dominate the property effects in the return generating process for Listed …