Seasonality in government bond returns and factor premia
Adam Zaremba , Tomasz Schabek
AbstractThe study investigated both the January effect and the “sell-in-May-and-go-away” anomaly in government bond returns. It also tested whether the two seasonal patterns impact the performance of fixed-income factor strategies related to volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992–2016 proved that both the bond returns and factor premia had remained unaffected by the January and “sell-in-May” effects. These seasonal patterns in government bond markets appear to be merely a statistical artifact.
|Journal series||Research in International Business and Finance, ISSN 0275-5319, e-ISSN 1878-3384, (0 pkt)|
|Publication size in sheets||0.5|
|Keywords in English||seasonal anomalies, calendar anomalies, January effect, Halloween indicator, Government bonds, Sovereign bonds, Fixed-income securities, Sell in may and go away|
|Score||= 15.0, 27-03-2020, ArticleFromJournal|
|Publication indicators||= 3; : 2017 = 1.482|
|Citation count*||16 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.