PT - JOURNAL ARTICLE AU - Martin S. Fridson TI - Semiannual Seasonality in High-Yield Bond Returns AID - 10.3905/jpm.2000.319768 DP - 2000 Jul 31 TA - The Journal of Portfolio Management PG - 102--111 VI - 26 IP - 4 4099 - https://pm-research.com/content/26/4/102.short 4100 - https://pm-research.com/content/26/4/102.full AB - 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.