The cross section of international government bond returns

Adam Zaremba , Anna Czapkiewicz

Abstract

Volatility 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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Anna Czapkiewicz - AGH University of Science and Technology (AGH)
Anna Czapkiewicz,,
-
Journal seriesEconomic Modelling, ISSN 0264-9993, (A 25 pkt)
Issue year2017
Vol66
Pages171-183
Publication size in sheets0.6
Keywords in EnglishAsset pricing, Government bonds, Sovereign bonds, Fixed-income securities, International markets, The cross section of returns, Value, Momentum, Credit risk, Volatility
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1016/j.econmod.2017.06.011
URL https://www.sciencedirect.com/science/article/pii/S026499931630791X?via%3Dihub#!
Languageen angielski
Score (nominal)25
Score sourcejournalList
ScoreMinisterial score = 25.0, 27-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 6; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 1.357; WoS Impact Factor: 2017 = 1.696 (2) - 2017=1.844 (5)
Citation count*12 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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