Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12216/280
Title: Return seasonalities in government bonds and macroeconomic risk
Authors: Mikutowski, Mateusz 
Karathanasopoulos, A. 
Adam Zaremba 
Issue Date: 2019
Journal: Economics Letters 
Abstract: We present a novel explanation of the cross-sectional seasonality anomaly in government bond returns. The macroeconomic risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We decompose the seasonality strategy payoffs into predicted and unexpected components. The seasonality effect plays a role only for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors
URI: http://hdl.handle.net/20.500.12216/280
DOI: 10.1016/j.econlet.2019.01.012
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