The cross section of international government bond returns |
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| Institution: | 1. School of Business Administration, University of California, Riverside, Anderson Hall 0129, 900 University Avenue, Riverside, CA 92521, USA;2. INSEAD, Boulevard de Constance, 77305 Fontainebleau Cedex, France;3. PBC School of Finance, Tsinghua University, 43 Chengfu Road, Haidian District, Beijing 100083, PR China |
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| Abstract: | 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 bonds. The model thoroughly explains the variation of government bond returns and covers a range of more than 60 cross-sectional return patterns in government bond markets, verifying its usefulness for asset pricing. The research was conducted within a sample of bonds from 25 developed and emerging markets for the years 1992 to 2016. |
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| Keywords: | Asset pricing Government bonds Sovereign bonds Fixed-income securities International markets The cross section of returns Value Momentum Credit risk Volatility |
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