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.
About the Author(s)
Steven S. Crawford is assistant professor of accounting at the Bauer College of Business, University of Houston, Houston.
Pietro Perotti is senior lecturer in accounting and finance at the School of Management, University of Bath, United Kingdom.
Richard A. Price III is the John F.Y. Stambaugh Centennial Professor and associate professor at the Price College of Business, University of Oklahoma, Norman, Oklahoma.
Christopher J. Skousen is professor of accounting at the Jon M. Huntsman School of Business, Utah State University, Logan, Utah.