Performance Persistence of Government Bond Factor Premia

Finance Research Letters, 2017, 22, 182-189

23 Pages Posted: 28 Feb 2019

See all articles by Adam Zaremba

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Date Written: December 13, 2016

Abstract

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

Zaremba, Adam, Performance Persistence of Government Bond Factor Premia (December 13, 2016). Finance Research Letters, 2017, 22, 182-189, Available at SSRN: https://ssrn.com/abstract=3332907

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

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