Seasonality in Government Bond Returns and Factor Premia

25 Pages Posted: 31 Aug 2016 Last revised: 7 Dec 2016

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Tomasz Schabek

University of Lodz - Faculty of Economics and Sociology

Date Written: December 6, 2016

Abstract

The study investigated both the January effect and the "sell-in-May-and-go-away" anomaly in government bond returns. It also tested whether the two seasonal patterns impact the performance of fixed-income factor strategies related to volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992-2016 proved that both the bond returns and factor premia had remained unaffected by the January and "sell-in-May" effects. These seasonal patterns in government bond markets appear to be merely a statistical artefact.

Keywords: seasonal anomalies, calendar anomalies, January effect, sell in May and go away, Halloween indicator, government bonds, sovereign bonds, fixed-income securities

JEL Classification: G12, G14, G15

Suggested Citation

Zaremba, Adam and Schabek, Tomasz, Seasonality in Government Bond Returns and Factor Premia (December 6, 2016). Available at SSRN: https://ssrn.com/abstract=2832086 or http://dx.doi.org/10.2139/ssrn.2832086

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

Tomasz Schabek

University of Lodz - Faculty of Economics and Sociology ( email )

3/5 POW Street
Lodz, 90-255
Poland

HOME PAGE: http://uni.lodz.pl/

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