TY - JOUR T1 - Residual Equity Momentum Spillover in Global Corporate Bond Markets JF - The Journal of Fixed Income SP - 46 LP - 54 DO - 10.3905/jfi.2018.28.3.046 VL - 28 IS - 3 AU - Demir Bektić Y1 - 2018/12/31 UR - https://pm-research.com/content/28/3/46.abstract N2 - This article presents an improved equity momentum measure for corporate bonds, using the euro-denominated global investment-grade corporate bond market from 2000 to 2016. The author documents economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely used total equity return, momentum as measured by the residual (idiosyncratic) equity return appears to further enhance risk-adjusted performance of corporate bond investors. Additional support for this conjecture is obtained from tests for various asset pricing factors and transaction costs, as exposure to these risk factors cannot explain this abnormal pattern in returns.TOPICS: Fixed income and structured finance, analysis of individual factors/risk premia, performance measurement ER -