Cross-sectional seasonalities in international government bond returns

Adam Zaremba

Abstract

We are the first to document the cross-sectional return seasonality effect in international government bonds. Using a variety of tests, we examine fixed-income securities from 22 countries for the years 1980–2018. The bonds with high (low) returns in the same-calendar month in the past continue to overperform (underperform) in the future. The effect is robust to many considerations, including controlling for established predictors of bond returns. Our results support the behavioural story of the anomaly, demonstrating its highest profitability in the periods of elevated investor sentiment and in the market segments of strong limits to arbitrage. Nonetheless, investment application of bond seasonality might be challenging due to high trading costs and the required short holding periods.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesJournal of Banking & Finance, [Journal of Banking and Finance], ISSN 0378-4266, e-ISSN 1872-6372, (N/A 140 pkt)
Issue year2019
Vol98
Pages80-94
Publication size in sheets0.7
Keywords in EnglishReturn seasonalities; Seasonal anomalies; Calendar anomalies; Government bonds; Sovereign bonds; Fixed-income securities; Asset pricing; Return predictability
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.jbankfin.2018.11.004
URL https://www.sciencedirect.com/science/article/abs/pii/S0378426618302450
Languageen angielski
Score (nominal)140
Score sourcejournalList
ScoreMinisterial score = 140.0, 08-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 1.857; WoS Impact Factor: 2017 = 1.931 (2) - 2017=2.848 (5)
Citation count*5 (2020-06-25)
Cite
Share Share

Get link to the record


* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
Back
Confirmation
Are you sure?