Return seasonalities in government bonds and macroeconomic risk

Mateusz Mikutowski , Andreas Karathanasopoulos , Adam Zaremba

Abstract

We 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.
Author Mateusz Mikutowski (WZ / KIiRK)
Mateusz Mikutowski,,
- Department of Investment and Capital Markets
, Andreas Karathanasopoulos - Dubai Business School, University of Dubai
Andreas Karathanasopoulos,,
-
, Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesEconomics Letters, ISSN 0165-1765, e-ISSN 1873-7374, (N/A 100 pkt)
Issue year2019
Vol176
NoMarch
Pages114-116
Publication size in sheets0.3
Keywords in EnglishGovernment bonds; Return seasonality; Macroeconomic risk; Asset pricing; Calendar anomalies
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.econlet.2019.01.012
URL https://www.sciencedirect.com/science/article/abs/pii/S0165176519300126
Languageen angielski
Score (nominal)100
Score sourcejournalList
ScoreMinisterial score = 100.0, 06-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.715; WoS Impact Factor: 2017 = 0.581 (2) - 2017=0.902 (5)
Citation count*1 (2020-06-25)
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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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