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Performance persistence of government bond factor premia

Adam Zaremba

Finance Research Letters, 2017, vol. 22, issue C, 182-189

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 (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:finlet:v:22:y:2017:i:c:p:182-189