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Seasonality in government bond returns and factor premia

Adam Zaremba and Tomasz Schabek

Research in International Business and Finance, 2017, vol. 41, issue C, 292-302

Abstract: The study investigated both the January effect and the “sell-in-May-and-go-away” anomaly in government bond returns. It also tested whether the two seasonal patterns impact the performance of fixed-income factor strategies related to volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992–2016 proved that both the bond returns and factor premia had remained unaffected by the January and “sell-in-May” effects. These seasonal patterns in government bond markets appear to be merely a statistical artifact.

Keywords: Seasonal anomalies; Calendar anomalies; January effect; Sell in may and go away; Halloween indicator; Government bonds; Sovereign bonds; Fixed-income securities (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2017
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