Performance persistence of government bond factor premia
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DOI: 10.1016/j.frl.2016.12.022
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Cited by:
- Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019. "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Adam Zaremba & George Kambouris, 2019. "The sources of momentum in international government bond returns," Applied Economics, Taylor & Francis Journals, vol. 51(8), pages 848-857, February.
- Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis A., 2022. "Persistence in US Treasury bonds," Finance Research Letters, Elsevier, vol. 45(C).
- 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.
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More about this item
Keywords
Momentum; Performance persistence; Government bonds; International investments; Return predictability; Factor investing; Sovereign bonds; Value; 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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