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 …

We are the first to document the cross-sectional return seasonality effect in international
government bonds. Using a variety of tests, we examine fixed-income securities from 22 …

Using factor models we empirically investigate the performance of European Monetary
Union (EMU) bond managers. We find that (1) alpha is time varying,(2) bond managers …

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 compelling book examines the price-based revolution in investing, showing how
research over recent decades has reinvented technical analysis. The authors discuss the …

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 …

This study aims to offer a new explanation for the momentum effect in international
government bonds. Using cross-sectional and time-series tests, we examine a sample of …

Sažetak The perspective of behavioural finance is that anomalies in the cross-section of
returns are driven by mispricing that arises from investor irrationality that cannot be easily …

This paper contributes to the ongoing debate of whether active investing is still worthwhile in
presence of factor investing. It provides a universal framework that selects presumably factor …