ABSTRACT
In this chapter, we test the Russian corporate bond market for momentum anomaly. We consider classical momentum and reversal strategies and their modifications. An originality of our research is investigating the influence of liquidity of bond issues. We also test the significance of macroeconomic factors in explaining the identified anomaly. We prove the anomaly in the yield behaviour: monitoring past investment results allows the development of profitable trade strategies. The results show the existence of reversal effect. The best return rate results are also demonstrated by the strategy adopted for the Russian market conditions and providing opening only long positions on losers. We explain the result by the fact that corporate bonds are highly attractive for Russian institutional investors. The results are consistent for the entire sample of bonds and the sample of low liquid bonds.
