Return seasonalities in government bonds and macroeconomic risk
Mateusz Mikutowski , Andreas Karathanasopoulos , Adam Zaremba
AbstractWe present a novel explanation of the cross-sectional seasonality anomaly in government bond returns. The macroeconomic risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We decompose the seasonality strategy payoffs into predicted and unexpected components. The seasonality effect plays a role only for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors.
|Journal series||Economics Letters, ISSN 0165-1765, e-ISSN 1873-7374, (N/A 100 pkt)|
|Publication size in sheets||0.3|
|Keywords in English||Government bonds; Return seasonality; Macroeconomic risk; Asset pricing; Calendar anomalies|
|Score||= 100.0, 06-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.715; : 2017 = 0.581 (2) - 2017=0.902 (5)|
|Citation count*||1 (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.