Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/281205 
Year of Publication: 
2023
Series/Report no.: 
CFR Working Paper No. 23-07
Publisher: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Abstract: 
Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment. The trading against news phenomenon is concentrated in funds selling on positive news and in the post-financial crisis period when dealer liquidity provision is constrained. Funds in so doing exhibit higher alphas, and a potential source of such alphas is bond price reversals post news events. Our findings highlight that bond mutual funds represent a significant liquidity provider in the corporate bond market and play a complementary role to dealers in corporate news events.
Subjects: 
Fixed income mutual funds
Corporate bonds
Institutional trading
Public news
Textual analysis
JEL: 
G12
G14
G23
G39
Document Type: 
Working Paper

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