The sources of momentum in international government bond returns

Adam Zaremba , George D. Kambouris

Abstract

This 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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, George D. Kambouris - University of Dubai, UAE
George D. Kambouris,,
-
Journal seriesApplied Economics, ISSN 0003-6846, e-ISSN 1466-4283, (N/A 40 pkt)
Issue year2019
Vol51
No8
Pages848-857
Publication size in sheets0.5
Keywords in Polishobligacje skarbowe, waluty, rynki walutowe, wycena aktywów, przewidywanie stóp zwrotu, efekt momentum
Keywords in EnglishGovernment bonds, sovereign bonds, currencies, foreign exchange, momentum, asset pricing, return predictability
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1080/00036846.2018.1524132
URL https://www.tandfonline.com/doi/abs/10.1080/00036846.2018.1524132
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 03-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.781; WoS Impact Factor: 2017 = 0.75 (2) - 2017=0.906 (5)
Citation count*2 (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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