Abnormal Short-Term Returns Following Market-Moving Events in the International Government Bond Market

Kassimatis, Konstantinos; Spyrou, Spyros I.

doi:10.2139/ssrn.667763

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Abnormal Short-Term Returns Following Market-Moving Events in the International Government Bond Market

47 Pages Posted: 16 Feb 2005

See all articles by Konstantinos Kassimatis

Konstantinos Kassimatis

Athens University of Economics and Business - Department of Business Administration

Spyros I. Spyrou

Athens University of Economics and Business - Department of Accounting and Finance

Abstract

We examine short-run patterns in government bond returns after market-moving events. Our sample covers government bond series from 17 developed countries. We find that abnormal returns follow momentum for about two weeks following an event and then reverse for a period of up to 60 days after the event. This pattern is the same for positive and negative events. However, we find that the potential to generate abnormal trading profits based on these patterns is limited.

Keywords: Government Bonds, Return patterns, Overreaction

JEL Classification: G1, G15, F3

Suggested Citation: Suggested Citation

Kassimatis, Konstantinos and Spyrou, Spyros I., Abnormal Short-Term Returns Following Market-Moving Events in the International Government Bond Market. Available at SSRN: https://ssrn.com/abstract=667763 or http://dx.doi.org/10.2139/ssrn.667763