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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …