Performance Persistence of Government Bond Factor Premia
Finance Research Letters, 2017, 22, 182-189
23 Pages Posted: 28 Feb 2019
Date Written: December 13, 2016
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.
Keywords: momentum, performance persistence, government bonds, international investments, return predictability, factor investing, sovereign bonds, value, credit risk, volatility
JEL Classification: G12, G14, G15
Suggested Citation: Suggested Citation