Seasonality in Daily Bond Returns
利用道琼斯综合债券平均指数检验公司债券收益的季节性模式，发现1963-1986年间存在一月效应、年关效应和月内周效应，但无显著周内日效应或月内转折效应，并与股票指数对比。
This paper tests for seasonal patterns in corporate bond returns using the Dow Jones Com? posite Bond Average. Each seasonal pattern documented for equities is investigated. For the period 1963-1986, corporate bond returns exhibit January, turn-of-the-year, and weekof-the-month effects, but no significant day-of-the-week or turn-of-the-month effects. In contrast, for the S&P 500 stock index, the turn-of-the-month and day-of-the-week ef? fects are highly significant, but the week-of-the-month effect is less significant, and the January and turn-of-the-year effects are insignificant. The behavior of an equity index constructed using companies in the bond index is similar to that of the S&P, except the turn-of-the-year effect is significant.