%0 Journal Article %A Martin S. Fridson %T Semiannual Seasonality in High-Yield Bond Returns %D 2000 %R 10.3905/jpm.2000.319768 %J The Journal of Portfolio Management %P 102-111 %V 26 %N 4 %X Exploitable seasonal patterns in high–yield bond returns are not limited to the widely studied “January effect.” On average, the high–yield sector outperforms ten–year Treasuries by a wider margin between December 1 and May 31 than between June 1 and November 30. Within the high–yield sector, single–Bs outperform double–Bs on average between December 1 and May 31, and underperform them between June 1 and November 30. The author finds that the semiannual seasonality effect does not appear to reflect seasonality in capital flows to the high–yield sector, but arises rather from a seasonal pattern in Treasury bond returns. %U https://jpm.pm-research.com/content/iijpormgmt/26/4/102.full.pdf