PT - JOURNAL ARTICLE AU - Florian Barth AU - Hendrik Scholz AU - Matthias Stegmeier TI - Momentum in the European Corporate Bond Market: <em>The Role of Bond-Specific Returns</em> AID - 10.3905/jfi.2018.27.3.054 DP - 2017 Dec 31 TA - The Journal of Fixed Income PG - 54--70 VI - 27 IP - 3 4099 - https://pm-research.com/content/27/3/54.short 4100 - https://pm-research.com/content/27/3/54.full AB - This paper analyzes momentum patterns in the European corporate bond market. We study a broad sample of Euro-denominated investment grade and noninvestment grade bonds covering the period January 2004 to October 2016. Our empirical findings reveal that momentum is mainly concentrated among noninvestment grade bonds. Furthermore, the composition of the momentum portfolios varies over time and is related to bond characteristics. Taking this into account, we apply characteristics-based adjustments in context with performance measurement and find momentum profits to remain robust. Most importantly, bond-specific return components seem to drive momentum patterns, indicating gradual information diffusion in bond prices.TOPICS: Fixed income and structured finance, analysis of individual factors/risk premia, developed