Performance persistence of government bond factor premia

Adam Zaremba

Abstract

This study investigates the momentum effect in factor premia in international government bond markets. The investigations are based on a range of fixed-income factor strategies related to volatility, credit risk, value, and momentum that are tested in a sample of data from 25 countries for the years 1992–2016. We demonstrate a strong and robust long-run performance persistence in the returns on factor portfolios of government bonds. Furthermore, our results support the view that the momentum in factor premia is driven by cross-sectional differences in expected returns on various factors rather than by behavioral overreaction.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesFinance Research Letters, ISSN 1544-6123, e-ISSN 1544-6131, (A 15 pkt)
Issue year2017
Vol22
Pages182-189
Publication size in sheets0.5
Keywords in EnglishMomentum, Performance persistence, Government bonds, International investments, Return predictability, Factor investing, Sovereign bonds, Value, Credit risk Volatility
ASJC Classification2003 Finance
DOIDOI:10.1016/j.frl.2016.12.022
URL https://www.sciencedirect.com/science/article/pii/S1544612316303701?via%3Dihub
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 27-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 2; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 0.775; WoS Impact Factor: 2017 = 1.085 (2) - 2017=1.087 (5)
Citation count*6 (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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