Researching Behavioral Biases in the High Yield Bond Market of Russian Issuers

This paper is devoted to the study of inefficiencies in the Russian market of high-yield bonds, as well as the question of justification of the identified inefficiencies in terms of the actively developing field of science - behavioral finance. Judging from the experience of other countries, the emergence of inefficiencies due to behavioral distortions in the Russian High Yield market is almost inevitable, since it is at its development stage and is characterized by a high proportion of private investors. It has been revealed that following the strategy of reverse momentum (reversal) generates statistically significant negative returns. Speculative participation in primary placements brings a statistically significant positive yield with an optimal holding period of 7 days after placement. This yield was partially explained by the factor of the excess of the coupon offered by the issuer over the key rate of the Central Bank of Russia. Low volatility effect, which could arise due to investors' overconfidence, which may cause overvaluation of assets with high volatility. Calendar effects, which are seasonal patterns arising from both rational and behavioral reasons. The naming effect, which refers to the influence of familiar words on decision making. The following distortions are suggested for the high-yield bond market: overreaction to news and events, gradual spreading of information, asymmetry of information, complacency and low financial literacy, etc.