Accounting year-end dispersion and seasonality in the Japanese corporate bond market
Using monthly yield data on straight bonds, this article investigates seasonality in the Japanese corporate bond market. A statistical examination of spreads between the yield of each bond and a bond market index reveals that the yield spread consistently decreases from April to August, whereas it increases from September to December. Because accounting year-ends for most investors in Japan are concentrated in either March or December, this seasonality supports the hypotheses of tax-loss selling and window dressing. Moreover, the seasonality becomes more pronounced as the debt rating declines, consistent with the findings in previous studies investigating the US bond market.
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Document Type: Research Article
Affiliations: Graduate School of Business Administration,Kobe University, 2-1 Rokkodai-choNada-kuKobe 657-8501, Japan
Publication date: 2011-10-01