Bracing for the typhoon: Climate change and sovereign risk in Southeast Asia
This article investigates and empirically tests the link between climate change and sovereign
risk in Southeast Asia. Southeast Asian countries are among those most heavily affected by …
risk in Southeast Asia. Southeast Asian countries are among those most heavily affected by …
Emerging market local currency sovereign bond yields: The role of exchange rate risk
B Gadanecz, K Miyajima, C Shu - International Review of Economics & …, 2018 - Elsevier
This paper explores the role of exchange rate risk in determining local currency sovereign
bond yields in emerging market economies (EMEs). We find that EME local currency …
bond yields in emerging market economies (EMEs). We find that EME local currency …
Exchange rate risk and local currency sovereign bond yields in emerging markets
B Gadanecz, K Miyajima, C Shu - 2014 - papers.ssrn.com
In this paper we consider the role of exchange rate risk in influencing local currency
sovereign bond yields in emerging market economies (EMEs). We explicitly account for …
sovereign bond yields in emerging market economies (EMEs). We explicitly account for …
Carry investing on the yield curve
M Martens, P Beekhuizen, J Duyvesteyn… - Financial Analysts …, 2019 - Taylor & Francis
Bond carry is the expected return on a bond when the yield curve does not change. The
curve carry strategy within each country constructs buckets based on bond maturities on a …
curve carry strategy within each country constructs buckets based on bond maturities on a …
The cross section of international government bond returns
A Zaremba, A Czapkiewicz - Economic Modelling, 2017 - Elsevier
Volatility risk, credit risk, value effect, and momentum are major return drivers in the fixed-
income universe. This study offers a four-factor pricing model for international government …
income universe. This study offers a four-factor pricing model for international government …
Seasonality in government bond returns and factor premia
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 …
in government bond returns. It also tested whether the two seasonal patterns impact the …
Predicting Bond Returns: 70 Years of International Evidence
G Baltussen, M Martens, O Penninga - Financial Analysts Journal, 2021 - Taylor & Francis
We use 70 years of international data from the major bond markets to examine bond return
predictability through in-sample and out-of-sample tests. Our results reveal economically …
predictability through in-sample and out-of-sample tests. Our results reveal economically …
Enhancing risk-adjusted return using time series momentum in sovereign bonds
G Hambusch, KHJ Hong… - The Journal of Fixed …, 2015 - search.proquest.com
This article studies an actively managed bond strategy based on time series momentum in
sovereign bond markets. The author assesses the performance of an active strategy and …
sovereign bond markets. The author assesses the performance of an active strategy and …
Performance persistence of government bond factor premia
A Zaremba - Finance Research Letters, 2017 - Elsevier
This study investigates the momentum effect in factor premia in international government
bond markets. The investigations are based on a range of fixed-income factor strategies …
bond markets. The investigations are based on a range of fixed-income factor strategies …
The trend is your friend: Momentum investing
A Zaremba, JK Shemer, A Zaremba… - Price-Based Investment …, 2018 - Springer
Momentum is defined as the tendency of securities with good (poor) past performance to
overperform (underperform) in the future. It is one of the most pervasive anomalies ever …
overperform (underperform) in the future. It is one of the most pervasive anomalies ever …