The sources of momentum in international government bond returns
Adam Zaremba , George D. Kambouris
AbstractThis study aims to offer a new explanation for the momentum effect in international government bonds. Using cross-sectional and time-series tests, we examine a sample of bonds from 22 countries for the years 1980 through 2018. We document significant momentum profits that are not attributable to bond-specific risk factors, such as volatility or credit risk. The global bond momentum is driven by the returns on underlying foreign exchange rates. Controlling for currency movements fully explains the abnormal returns on momentum strategies in international government bonds. The results are robust to many considerations including alternative sorting periods, portfolio construction methods, as well as subperiod and subsample analysis.
|Journal series||Applied Economics, ISSN 0003-6846, e-ISSN 1466-4283, (N/A 40 pkt)|
|Publication size in sheets||0.5|
|Keywords in Polish||obligacje skarbowe, waluty, rynki walutowe, wycena aktywów, przewidywanie stóp zwrotu, efekt momentum|
|Keywords in English||Government bonds, sovereign bonds, currencies, foreign exchange, momentum, asset pricing, return predictability|
|Score||= 40.0, 03-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.781; : 2017 = 0.75 (2) - 2017=0.906 (5)|
|Citation count*||2 (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.