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- 1Bond-stock correlations
- 1Canadian corporate bond market
- 1Coupon reinvestment
- 1Financial crisis
- 1Investment grade
This thesis explores the market efficiency in the US and Canadian corporate bond markets through examining the profitability and time variations of two widely studied asset pricing anomalies, i.e., the momentum effect and the return seasonality. The momentum effect refers to the abnormal gains...
This dissertation consists of three essays in the field of financial economics, which examine the interactions of stocks and fixed income securities, at the individual bond level and aggregate market level. The first chapter provides a general introduction for the whole thesis. The second...