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The cross section of international government bond returns

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  • Zaremba, Adam
  • Czapkiewicz, Anna

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.

Suggested Citation

  • Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
    • Handle: RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183
    DOI: 10.1016/j.econmod.2017.06.011
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    4. Zaremba, Adam & Kizys, Renatas & Aharon, David Y., 2021. "Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
    5. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
    6. Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
    7. Adam Zaremba & Jan Jakub Szczygielski, 2019. "Limits to arbitrage, investor sentiment, and factor returns in international government bond markets," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 32(1), pages 1727-1743, January.
    8. Cafiso, Gianluca, 2019. "Sovereign bond markets when auctions take place: Evidence from Italy," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 406-430.

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    More about this item

    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;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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