Return Seasonalities in Government Bonds and Macroeconomic Risk

Economics Letters, 2019, 176, 114-116

8 Pages Posted: 28 Feb 2019

See all articles by Mateusz Mikutowski

Mateusz Mikutowski

Poznan University of Economics and Business

Andreas Karathanasopoulos

University of Dubai

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Date Written: January 11, 2019

Abstract

We present a novel explanation of the cross-sectional seasonality anomaly in government bond returns. The macroeconomic risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We decompose the seasonality strategy payoffs into predicted and unexpected components. The seasonality effect plays a role only for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors.

Keywords: government bonds, return seasonality, macroeconomic risk, asset pricing, calendar anomalies

JEL Classification: G12, G14, G15

Suggested Citation

Mikutowski, Mateusz and Karathanasopoulos, Andreas and Zaremba, Adam, Return Seasonalities in Government Bonds and Macroeconomic Risk (January 11, 2019). Economics Letters, 2019, 176, 114-116, Available at SSRN: https://ssrn.com/abstract=3332944

Mateusz Mikutowski

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, Poznań 61-875
Poland

Andreas Karathanasopoulos

University of Dubai ( email )

AL MAKTOOM STREET
Dubai, 14143
United Arab Emirates

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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