RT Journal Article SR Electronic T1 Semiannual Seasonality in High-Yield Bond Returns JF The Journal of Portfolio Management FD Institutional Investor Journals SP 102 OP 111 DO 10.3905/jpm.2000.319768 VO 26 IS 4 A1 Martin S. Fridson YR 2000 UL https://pm-research.com/content/26/4/102.abstract 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.