Factor-based investing in government bond markets: a survey of the current state of research

Abstract

Factor investing has become very popular during the last decades, especially with respect to equity markets. After extending Fama–French factors to corporate bond markets, recent research more often concentrates on the government bond space and reveals that there is indeed clear empirical evidence for the existence of significant government bond factors. Voices that state the opposite refer to outdated data samples. By the documentation of rather homogeneous recent empirical evidence, this review underlines the attractiveness of more sophisticated investment approaches, which are well established in equity and even in corporate bond markets, to the segment of government bonds.

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

“…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.…”

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:…”

Comprehensive Analysis of Regulatory Impacts on Performance of Slovak Pension Funds

“…Since latest studies indicate low tracking error on the European markets, this manuscript has extended all analysed models by regulatory impact variables, but also by bond market factors TERM and DEF. Even though concept of government bond factors application is not as widely applied as concept of equity factors, recent studies indicate existence of significant government bond factors which should be considered in developed models (Bektić et al, 2020).…”