Performance persistence of government bond factor premia
AbstractThis 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.
|Journal series||Finance Research Letters, ISSN 1544-6123, e-ISSN 1544-6131, (A 15 pkt)|
|Publication size in sheets||0.5|
|Keywords in English||Momentum, Performance persistence, Government bonds, International investments, Return predictability, Factor investing, Sovereign bonds, Value, Credit risk Volatility|
|Score||= 15.0, 27-03-2020, ArticleFromJournal|
|Publication indicators||= 2; : 2017 = 0.775; : 2017 = 1.085 (2) - 2017=1.087 (5)|
|Citation count*||5 (2020-06-25)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.