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Seasonality in government bond returns and factor premia

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  • Zaremba, Adam
  • Schabek, Tomasz

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.

Suggested Citation

  • Zaremba, Adam & Schabek, Tomasz, 2017. "Seasonality in government bond returns and factor premia," Research in International Business and Finance, Elsevier, vol. 41(C), pages 292-302.
    • Handle: RePEc:eee:riibaf:v:41:y:2017:i:c:p:292-302
    DOI: 10.1016/j.ribaf.2017.04.036
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    3. Peter Arendas & Viera Malacka & Maria Schwarzova, 2018. "A Closer Look at the Halloween Effect: The Case of the Dow Jones Industrial Average," IJFS, MDPI, vol. 6(2), pages 1-12, April.
    4. Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.

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    More about this item

    Keywords

    Seasonal anomalies; Calendar anomalies; January effect; Sell in may and go away; Halloween indicator; Government bonds; Sovereign bonds; Fixed-income securities;
    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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