Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10011823386
Persistent link: https://www.econbiz.de/10001472393
Persistent link: https://www.econbiz.de/10001238384
Political risk relates to both the ability and the willingness of governments to repay debts. We find that bond prices only slowly adapt to changes in political risk. The expected bond returns for countries whose political risk ratings have improved are higher than those for countries whose...
Persistent link: https://www.econbiz.de/10012904805
Persistent link: https://www.econbiz.de/10012802500
We examine government bond factor premiums in a deep global sample from 1800 to 2020 spanning the major markets and maturities. Bond factors (Value, Momentum, Low-risk) offer attractive premiums that do not decay across samples, are persistent over time, and consistent across various market and...
Persistent link: https://www.econbiz.de/10013221994
Persistent link: https://www.econbiz.de/10012608467
We examine the predictability of government bond returns using a deep sample spanning 70 years of international data across the major bond markets. Using an economic, trading-based testing framework we find strong economic and statistical evidence of bond return predictability with a Sharpe...
Persistent link: https://www.econbiz.de/10012830713
Persistent link: https://www.econbiz.de/10011664803