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- W2000462712 abstract "The finance literature has shown that equity returns are predictable using past returns. This study extends that literature by examining bond return predictability. Using returns constructed from dealer bid prices, we find short- to intermediate-term reversals in investment grade corporate bond returns. These reversals are larger in the first half of the sample period and consistent with the predictions of dealer inventory cost models. This supports Jegadeesh and Titman’s [J. Financ. Intermed. 4 (1995) 116] assertion that daily, weekly, and monthly reversals in equity returns come from dealer inventory considerations, not behavioral biases. Finally, unlike equity returns, we find no evidence of momentum in bond returns." @default.
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- W2000462712 date "2004-03-01" @default.
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- W2000462712 title "Return reversals in the bond market: Evidence and causes" @default.
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- W2000462712 doi "https://doi.org/10.1016/s0378-4266(03)00035-9" @default.
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