Return seasonalities in government bonds and macroeconomic risk

Mateusz Mikutowski, Andreas Karathanasopoulos and Adam Zaremba ()

Economics Letters, 2019, vol. 176, issue C, 114-116

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 (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:176:y:2019:i:c:p:114-116

DOI: 10.1016/j.econlet.2019.01.012

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