The cross section of international government bond returns
Adam Zaremba , Anna Czapkiewicz
AbstractVolatility risk, credit risk, value effect, and momentum are major return drivers in the fixed-income universe. This study offers a four-factor pricing model for international government bonds. The model thoroughly explains the variation of government bond returns and covers a range of more than 60 cross-sectional return patterns in government bond markets, verifying its usefulness for asset pricing. The research was conducted within a sample of bonds from 25 developed and emerging markets for the years 1992 to 2016.
|Journal series||Economic Modelling, ISSN 0264-9993, (A 25 pkt)|
|Publication size in sheets||0.6|
|Keywords in English||Asset pricing, Government bonds, Sovereign bonds, Fixed-income securities, International markets, The cross section of returns, Value, Momentum, Credit risk, Volatility|
|Score||= 25.0, 27-03-2020, ArticleFromJournal|
|Publication indicators||= 6; : 2017 = 1.357; : 2017 = 1.696 (2) - 2017=1.844 (5)|
|Citation count*||11 (2020-06-25)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.