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Journal of Banking and Finance


Corporate bond,Spillover,Momentum,Time-varying risk,Residual return


  1. Daniel Haesen
  2. Patrick Houweling
  3. Jeroen van Zundert


    2. BANKING


      We investigate and improve momentum spillover
      from stocks to corporate bonds, i.e. the phenomenon that past winners in the
      equity market are future winners in the corporate bond market. We find that a
      momentum spillover strategy exhibits strong structural and time-varying default
      risk exposures that cause a drag on the profitability of the strategy and lead
      to large drawdowns if the market cycle turns from a bear to a bull market. By
      ranking companies on their firm-specific equity return, instead of their total
      equity return, the default risk exposures halve, the Sharpe ratio doubles and
      the drawdowns are substantially reduced.


      Vol 79, Tahun 2017


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