Style Factors in Emerging Asian Government Bond Markets

8 Pages Posted: 22 Jul 2020 Last revised: 23 Jul 2020

Date Written: June 24, 2020

Abstract

This article is an abridged version of our working paper “Style Factors in Asian Government Bond Markets” (Lim & Lioui, 2020), where we examine the yield curve dynamics and premia in the China, India and Indonesia local currency government debt markets through the lens of Value, Carry and Momentum.

Keywords: Style Factors, Value, Carry, Momentum, Sovereign Debt, Asian Emerging Market, China, India, Indonesia, Yield Curve

JEL Classification: G12, G15, G19

Suggested Citation

Lim, Cheryl, Style Factors in Emerging Asian Government Bond Markets (June 24, 2020). Available at SSRN: https://ssrn.com/abstract=3637901 or http://dx.doi.org/10.2139/ssrn.3637901

Cheryl Lim (Contact Author)

EDHEC Business School

58 rue du Port
Lille, 59046
France

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