Financial Statement Anomalies in the Bond Market

Steven S. Crawford, Pietro Perotti, Richard A. Price, Christpher J. Skousen

Research output: Contribution to journalArticle

Abstract

We investigate the association between bond returns and 32 financial statement variables. Our findings show that 17 of the 32 financial statement measures we examined are significantly related to future bond returns. Evidence of inefficiency is more pronounced when institutional investors are less active and when there is more uncertainty about the creditworthiness of the issuer. We contribute to the literature by significantly expanding the number of anomalies analyzed and by providing practitioners with actionable guidance on which trading strategies may be profitable in the bond market.
Original languageEnglish
Pages (from-to)105-124
Number of pages20
JournalFinancial Analysts Journal
Volume75
Issue number3
Early online date18 Apr 2019
DOIs
Publication statusE-pub ahead of print - 18 Apr 2019

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

Financial Statement Anomalies in the Bond Market. / Crawford, Steven S.; Perotti, Pietro; Price, Richard A.; Skousen, Christpher J.

In: Financial Analysts Journal, Vol. 75, No. 3, 18.04.2019, p. 105-124.

Research output: Contribution to journalArticle

Crawford, Steven S. ; Perotti, Pietro ; Price, Richard A. ; Skousen, Christpher J. / Financial Statement Anomalies in the Bond Market. In: Financial Analysts Journal. 2019 ; Vol. 75, No. 3. pp. 105-124.
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