The cross section of international government bond returns

Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic

“…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: where R i,t is the daily return on sovereign bonds in country i on day t, α i is the abnormal return (“alpha”), and ε i,t denotes the error term.…”

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:…”

Determinants of the Government Bond Yield: Evidence From a Highly Euroised Small Open Economy

“…The model reveals that interest rates, stock market returns, and market volatility support explain contagion in European government bond markets but, their applicability ranges from crisis to crisis. Zaremba and Czapkiewicz (2017) in their study offer a four-factor pricing model for international government bonds which is based on four large return drivers in the fixedincome universe: volatility risk, credit risk, value effect, and momentum. The model explained the fluctuation of government bond returns and covered a range of crosssectional return patterns in government bond markets.…”