Accounting Year-end Dispersion and Seasonality in the Japanese Corporate Bond Market
Accounting Year-end Dispersion and Seasonality in the Japanese Corporate Bond Market
复制标题
日本公司债券市场的会计年末离散性和季节性
DOI：
10.1080/00036841003705311
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发表时间：
2011
影响因子：
2.2
通讯作者：
Kenji Matsui
中科院分区：
文献类型：
--
作者：
Eiji Tajika;Hiroyuki Yashio;妹尾大;松田隆二;Kenji Matsui
本文使用直接债券的月收益率数据，研究日本公司债券市场的季节性。对每种债券的收益率与债券市场指数之间的利差进行的统计检查显示，收益率利差从4月到8月持续下降，而从9月到12月则上升。由于日本大多数投资者的会计年度结束集中在3月或12月，这种季节性支持税收损失出售和粉饰的假设。此外，随着债务评级的下降，季节性变得更加明显，这与以前调查美国债券市场的研究结果一致。
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.