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The sources of momentum in international government bond returns

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  • Adam Zaremba
  • George Kambouris

Abstract

This study aims to offer a new explanation for the momentum effect in international government bonds. Using cross-sectional and time-series tests, we examine a sample of bonds from 22 countries for the years 1980 through 2018. We document significant momentum profits that are not attributable to bond-specific risk factors, such as volatility or credit risk. The global bond momentum is driven by the returns on underlying foreign exchange rates. Controlling for currency movements fully explains the abnormal returns on momentum strategies in international government bonds. The results are robust to many considerations including alternative sorting periods, portfolio construction methods, as well as subperiod and subsample analysis.

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  • 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.
    • Handle: RePEc:taf:applec:v:51:y:2019:i:8:p:848-857
    DOI: 10.1080/00036846.2018.1524132
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    References listed on IDEAS

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    Cited by:

    1. Liu Kerry, 2023. "The Effects of Foreign Participation on Chinese Government Bond Yields," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 222-240, December.

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