The sources of momentum in international government bond returns
Author:
Affiliation:
1. Dubai Business School, University of Dubai, Dubai, United Arab Emirates
2. Department of Investment and Capital Markets, Poznań University of Economics and Business, Poznań, Poland
Funder
National Science Centre of Poland
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2018.1524132
Reference27 articles.
1. Value and Momentum Everywhere
2. Political and Fiscal Risk Determinants of Sovereign Spreads in Emerging Markets
3. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1
4. Momentum has its moments
5. Fundamental Indexing in Global Bond Markets: The Risk Exposure Explains It All
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