کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069239 | 1476982 | 2017 | 8 صفحه PDF | دانلود رایگان |
- We investigate the momentum effect in government bond factor premia.
- The study covers factor strategies tested across 25 countries for the years 1992-2016.
- There is strong and robust long-run performance persistence in bond factor returns.
- The persistence is driven by cross-sectional variation in expected factor premia.
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.
Journal: Finance Research Letters - Volume 22, August 2017, Pages 182-189