Comparing the momentum effect and Novy-Marx’s intermediate horizon effect in Eurozone corporate bonds
Loading...
Journal Title
Journal ISSN
Volume Title
School of Business |
Bachelor's thesis
Unless otherwise stated, all rights belong to the author. You may download, display and print this publication for Your own personal use. Commercial use is prohibited.
Author
Date
2023
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
26
Series
Abstract
I analyze and compare the performance of momentum strategies and Novy-Marx’s intermediate horizon strategies for Eurozone corporate bonds in the period 2013-2022. I show that there is a momentum effect in Eurozone corporate bonds bonds. The momentum strategies produce positive average returns with all holding periods up to 12 months. Holding periods of 1 month and 3 months produce the highest average returns and positive abnormal returns relative to four out of the five systematic risk models considered, with monthly alphas between 0.46 % and 0.87 %. Long-only momentum strategies also produce positive abnormal returns. On the other hand, evidence for the intermediate horizon effect is limited. Only the intermediate horizon strategies with holding periods of 9 and 12 months are profitable, and alphas relative to systematic risk models are mostly insignificant, though results are somewhat better for the long-only strategies.Description
Thesis advisor
Kokkonen, JoniKeywords
fixed income, corporate bond, factor investing, momentum
