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Factor-based investing in government bond markets: a survey of the current state of research

Author

Listed:
  • Demir Bektić

    (Deka Investment GmbH and IQ-KAP
    Technical University of Darmstadt)

  • Britta Hachenberg

    (TH Köln University of Applied Sciences)

  • Dirk Schiereck

    (Technical University of Darmstadt)

Abstract

Factor investing has become very popular during the last decades, especially with respect to equity markets. After extending Fama–French factors to corporate bond markets, recent research more often concentrates on the government bond space and reveals that there is indeed clear empirical evidence for the existence of significant government bond factors. Voices that state the opposite refer to outdated data samples. By the documentation of rather homogeneous recent empirical evidence, this review underlines the attractiveness of more sophisticated investment approaches, which are well established in equity and even in corporate bond markets, to the segment of government bonds.

Suggested Citation

  • Demir Bektić & Britta Hachenberg & Dirk Schiereck, 2020. "Factor-based investing in government bond markets: a survey of the current state of research," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 94-105, March.
    • Handle: RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00156-3
    DOI: 10.1057/s41260-020-00156-3
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    References listed on IDEAS

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    Cited by:

    1. 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).

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    More about this item

    Keywords

    Government bonds; Sovereign bonds; Factors; Anomalies; Risk premia; Style investing;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • 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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