Performance persistence of government bond factor premia

•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.