Abstract
AbstractPrevious studies show that January returns in high‐yield bond (HYB) markets are usually large. While these results are ubiquitous, their validity depends on the robustness of statistical procedures used. Virtually every study of seasonal variation in HYB markets has used mean/variance analysis despite it being well documented that returns in HYB markets are nonnormally distributed. This study uses stochastic dominance comparisons to audit previous parametric tests of the January effect in HYB markets in the U.S. from 1926 to 1993. Results indicate that the January effect in HYB markets is robust and that previous findings are not an artifact deriving from violations of distributional assumptions.
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