January sentiment effect in the US corporate bond market

Abstract

Purpose The purpose of this paper is to investigate the impact of January sentiment on investors’ asset allocation decisions in the US corporate bond market during the rest of the year. Specifically, the study evaluates if the shift in January sentiment is a predictor of corporate bond spreads from February to December. Design/methodology/approach Using corporate bond trades reported in TRACE between 2005 and 2014, the authors examine the ability of the Index of Consumer Sentiment and the Index of Investor Sentiment to predict bond spreads over the 11 months following January. The study evaluates both the sign of the change in sentiment and the magnitude of the change in sentiment using two generalized linear models, controlling for industry, bond and firm fixed effects. Portfolios are analyzed based on yield, firm size and firm leverage. Additional analysis is performed to ensure results are robust to the impacts of the subprime financial crisis. Findings This paper finds that the changes in the sentiment measures in January predict bond spreads associated with bond trades in the subsequent 11 months, and this phenomenon, which the authors label as the “January sentiment effect,” has opposing impacts on risky and less risky bond portfolios. Originality/value This paper adds to the literature on the relationship between sentiment and investor’s allocation decisions. The evidence documented in this study is the first known to find that investors’ allocation decisions in a year are driven by their sentiment in January.

Pengaruh January Effect Terhadap Return Saham IHSG di Bursa Efek Indonesia

“…(Bachtiar, 2009;Dash & Mahakud, 2015;PRADIKASARI & ISBANAH, 2018) Dalam investasi saham dikenal beberapa return saham yang terjadi tidak didasari dari informasi sebelumnya, hal disebut dengan lomba untuk membuat vaksin yang dapat mengatasi penyakit ini. Vaksin yang pertama adalah vaksin Sinovac yang masuk pada 25 Maret 2021, serta vaksin lainnya seperti Astrazeneca, Moderna, dan masuknya vaksin Pfizer yang mempunyai tingkat paling tinggi anomaly, dalam anomaly ada beberapa jenis, salah satunya adalah anomaly musiman, yaitu anomaly yang terjadi sesuai dengan kalender, yang termasuk dalam anomaly musiman adalah January effect, turn of the month, rogalsky effect, day of the week, Monday effect, dan weekend effect (Chen & Craig, 2018;Kumar, 2018;Ningtyas, 2017;Rosenberg, 2004;Rr & Ansyori, 2006;Werastuti, 2012).…”

“…Dalam pasar tidak efisien, salah satu dari anomaly pasar dalam seasonal anomaly adalah January effect, yang merupakan anomaly musiman yang diamati ketika return saham pada bulan January memprediksi return saham pada 11 bulan selanjutnya (Chen & Craig, 2018). Banyak peneliti yang telah meneliti mengenai January effect, dimana January effect memiliki return saham yang lebih tinggi bila dibandingkan dengan bulan-bulan lainnya yang berada dalam satu tahun (Ulussever et al, 2011) (Alhajraf, 2021) merupakan sistem informasi yang mengukur aktivitas bisnis, memproses informasi menjadi laporan keuangan, dan mengkomunikan hasilnya kepada para pembuat pengambil keputusan.…”

Investor attention and market correction

“…The summary statistics reported in Table 1 show that the top 50 daily winner stocks are similar to the top 50 daily loser stocks in terms of illiquidity, volatility and size. Because investor sentiment impacts stock returns (Fisher and Statman, 2003), we control for the monthly change in the Wurgler (2006, 2007) Investor Sentiment Index, following the recent literature (Chen and Craig, 2018;Chen and Daves, 2018). Table 1 shows that the monthly changes in the Investor Sentiment Index have a mean (median) of 0.0024 (0.0049), and daily value-weighted market returns have a mean (median) of 0.08% (0.11%).…”