Return Seasonalities in Government Bonds and Macroeconomic Risk

We present a novel explanation of the cross-sectional seasonality anomaly in government bond returns. The macroeconomic risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We decompose the seasonality strategy payoffs into predicted and unexpected components. The seasonality effect plays a role only for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors

MoreLess

Year of publication:	2019
Authors:	Mikutowski, Mateusz
Other Persons:	Karathanasopoulos, Andreas (contributor) ; Zaremba, Adam (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Öffentliche Anleihe \| Public bond \| Saisonale Schwankungen \| Seasonal variations \| Kapitaleinkommen \| Capital income \| Risiko \| Risk \| Wirkungsanalyse \| Impact assessment \| Schätzung \| Estimation

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, 2019, 176, 114-116 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 11, 2019 erstellt
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012893030