The cross section of international government bond returns

Adam Zaremba () and Anna Czapkiewicz

Economic Modelling, 2017, vol. 66, issue C, 171-183

Abstract: Volatility risk, credit risk, value effect, and momentum are major return drivers in the fixed-income universe. This study offers a four-factor pricing model for international government bonds. The model thoroughly explains the variation of government bond returns and covers a range of more than 60 cross-sectional return patterns in government bond markets, verifying its usefulness for asset pricing. The research was conducted within a sample of bonds from 25 developed and emerging markets for the years 1992 to 2016.

Keywords: G12; G14; G15; Asset pricing; Government bonds; Sovereign bonds; Fixed-income securities; International markets; The cross section of returns; Value; Momentum; Credit risk; Volatility (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183

DOI: 10.1016/j.econmod.2017.06.011

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