Carry Investing on the Yield Curve

Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets

“…The yields are calculated based on Datastream 10-Year Government Bond Total Returns. Furthermore, following Martens et al. (2019) , we represent the short-term rate by a three-month interbank rate.…”

Volatility in International Sovereign Bond Markets: The Role of Government Policy Responses to the COVID-19 Pandemic

“…Importantly, unlike when studying equities, there is no "gold standard" or single broadly acknowledged cross-sectional asset pricing model for government bonds. Therefore, we form an ad-hoc asset pricing model that comprises a battery of factors identified in the fixed-income literature (Asness et al 2013;Bektić et al 2020;de Carvalho et al 2014;Ejsing et al 2012;Gava et al 2020;Kang et al 2019;Luu and Yu 2012;Martens et al 2019;Zaremba and Czapkiewicz 2017). Specifically, our seven-factor model aims to capture the known multidimensionality of the cross-section of global sovereign bond returns:…”

Predicting Bond Returns: 70 Years of International Evidence

“…For predicting returns in the cross section of bond markets, see, amongst others, Asness, Moskowitz, and Pedersen (2013) and Koijen, Moskowitz, Pedersen, and Vrugt (2018), for which Baltussen, Swinkels, and van Vliet (forthcoming) provided deep historical evidence. For predicting returns across maturity buckets on the yield curve, see, amongst others, Martens, Beekhuizen, Duyvesteyn, and Zomerdijk (2019).…”