Abstract

http://ssrn.com/abstract=2217563
 
 

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Emerging Government Bond Market Timing


Johan G. Duyvesteyn


Robeco Asset Management; Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Martin Martens


Erasmus University Rotterdam (EUR); Robeco Asset Management

January 16, 2014

Journal of Fixed Income, Vol. 23, No. 3, 2014

Abstract:     
Excess bond returns in developed markets are predictable using factors like bond momentum, equity momentum and term spread. We show the same factors can also predict emerging government bond returns of debt issued in local currency. An investment strategy based on the three factors delivers 1.2% outperformance per year after transaction costs. Emerging market local currency debt returns are positively correlated with U.S. treasury returns and have near-zero correlation with U.S. credit excess returns. These results indicate that emerging market local currency debt behaves more like developed government bond debt and less like credits.

Keywords: Market timing, emerging debt, government bonds, bond momentum

JEL Classification: G14, G15

Accepted Paper Series





Not Available For Download

Date posted: February 16, 2013 ; Last revised: February 20, 2014

Suggested Citation

Duyvesteyn, Johan G. and Martens, Martin, Emerging Government Bond Market Timing (January 16, 2014). Journal of Fixed Income, Vol. 23, No. 3, 2014. Available at SSRN: http://ssrn.com/abstract=2217563 or http://dx.doi.org/10.2139/ssrn.2217563

Contact Information

Johan G. Duyvesteyn
Robeco Asset Management ( email )
Rotterdam, 3011 AG
Netherlands
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands
Martin P.E. Martens (Contact Author)
Erasmus University Rotterdam (EUR) ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1253 (Phone)
+31 10 408 9162 (Fax)
Robeco Asset Management ( email )
Rotterdam, 3011 AG
Netherlands
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