The Nature of Momentum-effect in the Russian Corporate Bond Market

In this article the question of momentum-effect existence in the ruble corporate bond market is considered. The price anomaly is revealed through the construction of the profitable trade strategy on the relatively best and relatively worst corporate bondsranged by the historical return. The results that include the selection of the trade strategy’s design allow to reveal the reversal effect, when the investing into the market's "losers" is more profitable. The most profitable strategy provides higher return in comparison to the alternative financial instruments. The investments in former "winners" also may be provide positive return, but under certain values of strategy design parameters. The result above justifies that the Russian corporate bond market is overvalued, thus, investment into the "losers" of the market is more profitable.