Seasonality in government bond returns and factor premia

Adam Zaremba , Tomasz Schabek

Abstract

The 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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Tomasz Schabek - Uniwersytet Łódzki
Tomasz Schabek,,
-
Journal seriesResearch in International Business and Finance, ISSN 0275-5319, e-ISSN 1878-3384, (0 pkt)
Issue year2017
Vol41
Pages292-302
Publication size in sheets0.5
Keywords in Englishseasonal anomalies, calendar anomalies, January effect, Halloween indicator, Government bonds, Sovereign bonds, Fixed-income securities, Sell in may and go away
ASJC Classification1401 Business, Management and Accounting (miscellaneous); 2003 Finance
DOIDOI:10.1016/j.ribaf.2017.04.036
URL https://www.sciencedirect.com/science/article/pii/S0275531916302434
Languageen angielski
Score (nominal)15
Score sourcejournalIndex
ScoreMinisterial score = 15.0, 27-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 3; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 1.482
Citation count*16 (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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