Performance persistence of government bond factor premia

Adam Zaremba


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
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
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)
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.
Are you sure?